Generalized BSDEs driven by fractional Brownian motion
From MaRDI portal
Publication:1950705
DOI10.1016/j.spl.2012.11.029zbMath1267.60062OpenAlexW2022267546MaRDI QIDQ1950705
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
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
Generalized backward stochastic variational inequalities driven by a fractional Brownian motion, Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion, Solutions to BSDEs driven by multidimensional fractional Brownian motions, Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process, Generalized fractional BSDE with non Lipschitz coefficients, Stochastic controls of fractional Brownian motion, Fractional backward SDEs with locally monotone coefficient and application to PDEs, Stochastic averaging principle for differential equations with non-Lipschitz coefficients 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, Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion, Anticipative backward stochastic differential equations driven by fractional Brownian motion, Linear backward stochastic differential equations with Gaussian Volterra processes, Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients, Weak convergence for a class of stochastic fractional equations driven by fractional noise, Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem, Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion, Fractional anticipated BSDEs with stochastic Lipschitz coefficients, Mean-field backward stochastic differential equations driven by fractional Brownian motion, Fractional backward stochastic variational inequalities with non-Lipschitz coefficient