Fractional anticipated BSDEs with stochastic Lipschitz coefficients

DOI10.1515/ROSE-2018-0012MaRDI QIDQ1787196zbMATH OpenOpenAlexFDO

Authors Ahmadou B. 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

anticipated backward stochastic differential equationfractional Brownian motionItô's fractional formulastochastic Lipschitz conditions

Mathematics Subject Classification ID

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

Recommendations

• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• 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
• Generalized fractional BSDE with jumps and Lipschitz coefficients
• Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients

Cites work

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

Cited in

(12)

• Generalized fractional BSDE with non Lipschitz coefficients
• Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients
• Deplay BSDEs driven by fractional Brownian motion
• Linear backward stochastic differential equations with Gaussian Volterra processes
• Generalized fractional BSDE with jumps and Lipschitz coefficients
• Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion
• BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term
• Fractional delay and anticipated backward doubly stochastic differential equations with integral-Lipschitz coefficients

This page was built for publication: Fractional anticipated BSDEs with stochastic Lipschitz coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1787196)