Properties of solution of fractional backward stochastic differential equation
DOI10.1016/J.AMC.2013.11.081zbMATH Open1364.60078OpenAlexW2074097410WikidataQ115361485 ScholiaQ115361485MaRDI QIDQ529939FDOQ529939
Authors: Hui Zhang 
Publication date: 9 June 2017
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.081
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- scientific article
fractional Brownian motionbackward stochastic differential equationcomparison theoremJensen's inequalityquasi-conditional expectationcomonotonic theorem
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Backward Stochastic Differential Equations in Finance
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Backward stochastic differential equation driven by fractional Brownian motion
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- Stochastic Control for Linear Systems Driven by Fractional Noises
- On Jensen's inequality for \(g\)-expectation
- A comonotonic theorem for BSDEs
- Malliavin derivative and comonotonic theorems for BSDEs
- Comonotonic theorems of BSDEs with stochastic generators
Cited In (5)
- Linear backward stochastic differential equations with Gaussian Volterra processes
- Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
- Backward stochastic differential equation driven by fractional Brownian motion
- Some results on backward stochastic differential equations of fractional order
- Solutions to BSDEs driven by multidimensional fractional Brownian motions
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