Solutions to BSDEs driven by multidimensional fractional Brownian motions

DOI10.1155/2015/481842MaRDI QIDQ1665780zbMATH OpenOpenAlexWikidataFDO

Authors Jie Miao, Xu Yang

Publication date 27 August 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2015/481842

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Backward stochastic differential equation driven by fractional Brownian motion
• Properties of solution of fractional backward stochastic differential equation
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions

Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Approximate controllability of a class of fractional neutral stochastic integro-differential inclusions with infinite delay by using Mainardi's function
• Backward stochastic differential equation driven by fractional Brownian motion
• Existence of solutions of nonlinear stochastic integrodifferential inclusions in a Hilbert space
• Explicit solutions of a class of linear fractional BSDEs
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Generalized BSDEs driven by fractional Brownian motion
• Integral transformations and anticipative calculus for fractional Brownian motions
• Itô's formula with respect to fractional Brownian motion and its application
• Properties of solution of fractional backward stochastic differential equation
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic differential equations for fractional Brownian motions
• Stochastic integration with respect to fractional Brownian motion
• The Malliavin Calculus and Related Topics

Cited in

(13)

• Some results on backward stochastic differential equations driven by fractional Brownian motions
• BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
• Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Delay BSDEs driven by fractional Brownian motion
• Backward stochastic differential equation driven by fractional Brownian motion
• Multidimensional backward stochastic differential equations with rough drifts
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
• Explicit solutions of a class of linear fractional BSDEs
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
• Properties of solution of fractional backward stochastic differential equation

This page was built for publication: Solutions to BSDEs driven by multidimensional fractional Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1665780)