Fractional anticipated BSDEs with stochastic Lipschitz coefficients

DOI10.1515/rose-2018-0012zbMath1401.60105OpenAlexW2887382588MaRDI QIDQ1787196

Ahmadou Bamba Sow, Bassirou Kor Diouf

Publication date: 4 October 2018

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2018-0012

zbMATH Keywords

fractional Brownian motionanticipated backward stochastic differential equationItô's fractional formulastochastic Lipschitz conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (1)

Linear backward stochastic differential equations with Gaussian Volterra processes

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with non-Lipschitz coefficients
• Generalized fractional BSDE with non Lipschitz coefficients
• Generalized BSDEs driven by fractional Brownian motion
• Anticipated backward stochastic differential equations
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Explicit solutions of a class of linear fractional BSDEs
• Integral transformations and anticipative calculus for fractional Brownian motions
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

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