Anticipative backward stochastic differential equations driven by fractional Brownian motion

DOI10.1016/J.SPL.2016.11.011zbMATH Open1356.60092arXiv1604.01847OpenAlexW2340765683MaRDI QIDQ504474FDOQ504474

Authors: Jiaqiang Wen, Yufeng Shi 

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. We obtain the existence and uniqueness of solutions to these equations. A comparison theorem for this type of anticipative BSDEs is also established.

Full work available at URL: https://arxiv.org/abs/1604.01847

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zbMATH Keywords

fractional Brownian motioncomparison theoremanticipative backward stochastic differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cited In (15)

• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations driven by fractional Brownian motions
• Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
• Linear backward stochastic differential equations with Gaussian Volterra processes
• Solvability of anticipated backward stochastic Volterra integral equations
• Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
• Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion
• Anticipated backward stochastic differential equations with quadratic growth
• Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
• Maximum principle for a stochastic delayed system involving terminal state constraints

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