Generalized BDSDEs driven by fractional Brownian motion
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Publication:6054113
DOI10.1515/msds-2022-0167zbMath1524.60116MaRDI QIDQ6054113
Assane Ndiaye, Ahmadou Bamba Sow, Sadibou Aidara
Publication date: 24 October 2023
Published in: Nonautonomous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/msds-2022-0167
backward stochastic differential equation; Lipschitz coefficients; Malliavin derivative and fractional Itô's formula
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
Cites Work
- Solutions to BSDEs driven by both standard and fractional Brownian motions
- Adapted solution of a backward stochastic differential equation
- Stochastic analysis of the fractional Brownian motion
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Generalized fractional BSDE with non Lipschitz coefficients
- BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
- Integral transformations and anticipative calculus for fractional Brownian motions
- Backward Stochastic Differential Equation Driven by Fractional Brownian Motion