Generalized BSDEs driven by fractional Brownian motion

DOI10.1016/j.spl.2012.11.029zbMath1267.60062OpenAlexW2022267546MaRDI QIDQ1950705

Katarzyna Jańczak-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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