Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
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Publication:1637053
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Cites work
- A General Stochastic Maximum Principle for Optimal Control Problems
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- Adapted solution of a backward stochastic differential equation
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward stochastic differential equation driven by fractional Brownian motion
- Backward stochastic differential equations with rough drivers
- Conjugate convex functions in optimal stochastic control
- Differential equations driven by fractional Brownian motion
- Explicit solutions of a class of linear fractional BSDEs
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- scientific article; zbMATH DE number 5971068 (Why is no real title available?)
- scientific article; zbMATH DE number 3577134 (Why is no real title available?)
- Integral transformations and anticipative calculus for fractional Brownian motions
- Itô's formula with respect to fractional Brownian motion and its application
- Maximum principle for general controlled systems driven by fractional Brownian motions
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- Partial Information Linear Quadratic Control for Jump Diffusions
- Solutions to BSDEs driven by both standard and fractional Brownian motions
- Stochastic analysis of fractional brownian motions
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Control for Linear Systems Driven by Fractional Noises
- Stochastic integration with respect to the fractional Brownian motion
- The Malliavin Calculus and Related Topics
- Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
Cited in
(10)- Solutions to BSDEs driven by multidimensional fractional Brownian motions
- A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
- BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
- Solutions to BSDEs driven by both standard and fractional Brownian motions
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- BSDEs driven by both standard and fractional Brownian motions with non-Lipschitz conditions
- Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
- Linear-quadratic optimal control problems for mean-field stochastic differential equations driven by fractional Brownian motions
- A stochastic maximum principle for general controlled systems driven by mixed Brownian motions
- Backward stochastic Volterra integral equations with jumps and some related problems
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