Generalized fractional BSDE with non Lipschitz coefficients

DOI10.1007/s13370-015-0354-3zbMath1386.60189OpenAlexW1107989424MaRDI QIDQ1689692

Ahmadou Bamba Sow, Sadibou Aidara

Publication date: 17 January 2018

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-015-0354-3

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationMalliavin derivative

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Deplay BSDEs driven by fractional Brownian motion, Generalized BDSDEs driven by fractional Brownian motion, Delay BSDEs driven by fractional Brownian motion, Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients, BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients, Fractional backward SDEs with locally monotone coefficient and application to PDEs, Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion, Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients, Fractional anticipated BSDEs with stochastic Lipschitz coefficients, Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

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