Generalized BSDEs driven by fractional Brownian motion

DOI10.1016/J.SPL.2012.11.029zbMATH Open1267.60062OpenAlexW2022267546MaRDI QIDQ1950705FDOQ1950705

Authors Katarzyna Janczak-Borkowska

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.11.029

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equations

Mathematics Subject Classification ID

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

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• Deplay BSDEs driven by fractional Brownian motion
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• BSDEs generated by fractional space-time noise and related SPDEs
• Generalized BDSDEs driven by fractional Brownian motion
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Fractional backward SDEs with locally monotone coefficient and application to PDEs
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• Weak convergence for a class of stochastic fractional equations driven by fractional noise
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Linear backward stochastic differential equations with Gaussian Volterra processes
• Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion
• Generalized fractional BSDE with jumps and Lipschitz coefficients
• Generalized fractional BSDE with non Lipschitz coefficients
• Generalized delay BSDE driven by fractional Brownian motion
• BSDEs driven by fractional Brownian motion with time-delayed generators
• Existence and uniqueness of solutions to BSDEs driven by fractional Brownian motion with uniformly continuous generator in the \(z\)-direction
• BSDEs driven by both standard and fractional Brownian motions with non-Lipschitz conditions
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients
• Backward SDEs driven by Gaussian processes
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
• Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion
• Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
• Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
• A Feynman-Kac result via Markov BSDEs with generalised drivers
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
• Generalized backward stochastic variational inequalities driven by a fractional Brownian motion
• A general non-existence result for linear BSDEs driven by Gaussian processes
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
• Fractional backward stochastic variational inequalities with non-Lipschitz coefficient
• Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs
• Stochastic controls of fractional Brownian motion
• Solutions to BSDEs driven by multidimensional fractional Brownian motions

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