Explicit solutions of a class of linear fractional BSDEs

DOI10.1016/j.sysconle.2004.11.006zbMath1129.60313OpenAlexW2046854818MaRDI QIDQ2504564

Christian Bender

Publication date: 25 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2004.11.006

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationspartial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) PDEs with randomness, stochastic partial differential equations (35R60)

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