Solutions to BSDEs driven by both standard and fractional Brownian motions

DOI10.1007/s10255-013-0219-1zbMath1329.60180MaRDI QIDQ350757

Dengfeng Xia, Weiyin Fei, Shuguang Zhang

Publication date: 3 July 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-013-0219-1

zbMATH Keywords

fractional Brownian motion; Malliavin calculus; fractional Itô formula; quasi-conditional expectation; SFBSDE

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Generalized BDSDEs driven by fractional Brownian motion, Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions, On existence and uniqueness of solutions to uncertain backward stochastic differential equations, A general non-existence result for linear BSDEs driven by Gaussian processes, Backward SDEs driven by Gaussian processes, Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions, Solutions to BSDEs driven by multidimensional fractional Brownian motions, Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients, Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes, BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients

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