Properties of solution of fractional backward stochastic differential equation

DOI10.1016/J.AMC.2013.11.081MaRDI QIDQ529939zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationcomparison theoremJensen's inequalityquasi-conditional expectationcomonotonic theorem

Mathematics Subject Classification ID

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

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Cites work

• A comonotonic theorem for BSDEs
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equation driven by fractional Brownian motion
• Comonotonic theorems of BSDEs with stochastic generators
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• Malliavin derivative and comonotonic theorems for BSDEs
• On Jensen's inequality for \(g\)-expectation
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Control for Linear Systems Driven by Fractional Noises

Cited in

(5)

• Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
• Linear backward stochastic differential equations with Gaussian Volterra 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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