Solutions to BSDEs driven by both standard and fractional Brownian motions
Publication:350757
DOI10.1007/s10255-013-0219-1zbMath1329.60180OpenAlexW1973208575MaRDI QIDQ350757
Dengfeng Xia, Weiyin Fei, Shuguang Zhang
Publication date: 3 July 2013
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-013-0219-1
fractional Brownian motionMalliavin calculusfractional Itô formulaquasi-conditional expectationSFBSDE
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (12)
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