Anticipative backward stochastic differential equations driven by fractional Brownian motion

DOI10.1016/J.SPL.2016.11.011MaRDI QIDQ504474zbMATHOpenAlexFDO

Authors Jiaqiang Wen, Yufeng Shi

Publication date 16 January 2017

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

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

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)

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.

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Cites work

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Cited in

(24)

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

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