Solutions to BSDEs driven by multidimensional fractional Brownian motions

DOI10.1155/2015/481842zbMATH Open1393.60062OpenAlexW1633050291WikidataQ59118694 ScholiaQ59118694MaRDI QIDQ1665780FDOQ1665780

Authors: Jie Miao, Xu Yang 

Publication date: 27 August 2018

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

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

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Mathematics Subject Classification ID

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

Cites Work

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• Itô's formula with respect to fractional Brownian motion and its application
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• Approximate controllability of a class of fractional neutral stochastic integro-differential inclusions with infinite delay by using Mainardi's function
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• Generalized BSDEs driven by fractional Brownian motion
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• Explicit solutions of a class of linear fractional BSDEs
• Backward stochastic differential equation driven by fractional Brownian motion
• Existence of solutions of nonlinear stochastic integrodifferential inclusions in a Hilbert space
• Stochastic integration with respect to fractional Brownian motion
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Stochastic differential equations for fractional Brownian motions
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Properties of solution of fractional backward stochastic differential equation

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
• Delay BSDEs driven by fractional Brownian motion
• 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
• Multidimensional backward stochastic differential equations with rough drifts
• Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
• Backward stochastic differential equation driven by fractional Brownian motion
• 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

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