Explicit solutions of a class of linear fractional BSDEs
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Cites work
- A General Fractional White Noise Theory And Applications To Finance
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- Adapted solution of a backward stochastic differential equation
- An \(S\)-transform approach to integration with respect to a fractional Brownian motion
- An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
- Fractional Brownian Motions, Fractional Noises and Applications
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- scientific article; zbMATH DE number 3127846 (Why is no real title available?)
- On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
- On the prediction of fractional Brownian motion
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic calculus with respect to Gaussian processes
Cited in
(26)- Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
- Solutions to BSDEs driven by multidimensional fractional Brownian motions
- Generalized fractional BSDE with non Lipschitz coefficients
- Fractional anticipated BSDEs with stochastic Lipschitz coefficients
- Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients
- Deplay BSDEs driven by fractional Brownian motion
- Linear backward stochastic differential equations with Gaussian Volterra processes
- The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
- Generalized fractional BSDE with jumps and Lipschitz coefficients
- Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion
- Fractional backward stochastic differential equations and fractional backward variational inequalities
- Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
- Generalized backward stochastic variational inequalities driven by a fractional Brownian motion
- Solutions to BSDEs driven by both standard and fractional Brownian motions
- Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
- A general non-existence result for linear BSDEs driven by Gaussian processes
- Delay BSDEs driven by fractional Brownian motion
- Stochastic controls of fractional Brownian motion
- Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions
- Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
- Averaging principle for BSDEs driven by fractional Brownian motion with non Lipschitz coefficients
- BSDEs driven by fractional Brownian motion with time-delayed generators
- Generalized delay BSDE driven by fractional Brownian motion
- A backward stochastic differential equation driven by fractional Brownian motion with the Osgood condition
- Mean-field fractional BSDEs with locally monotone coefficients
- Backward SDEs driven by Gaussian processes
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