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

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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)

Cited In (38)

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

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