Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients

DOI10.1515/rose-2023-2024OpenAlexW4390695016MaRDI QIDQ6123176

Sadibou Aidara, Ahmadou Bamba Sow, Assane Ndiaye

Publication date: 4 March 2024

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2023-2024

zbMATH Keywords

backward doubly stochastic differential equationstochastic Lipschitz coefficientsMalliavin derivative and fractional Itô formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with non-Lipschitz coefficients
• Stochastic analysis of the fractional Brownian motion
• Generalized fractional BSDE with non Lipschitz coefficients
• BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
• Integral transformations and anticipative calculus for fractional Brownian motions
• Anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients

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