Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term

DOI10.1016/J.SPL.2023.109954OpenAlexW4388816371MaRDI QIDQ6192578FDOQ6192578

Ri Kyong-Il, Sin Myong-Guk

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109954

zbMATH Keywords

fractional Brownian motionforward-backward stochastic differential equationsmethod of continuationstochastic differential delay equationsanticipative backward stochastic differential equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic functional-differential equations (34K50) Functional-differential equations with fractional derivatives (34K37)

Cites Work

• Forward-backward stochastic differential equations and their applications
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• Anticipated backward stochastic differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Adapted solution of a backward stochastic differential equation
• Integral transformations and anticipative calculus for fractional Brownian motions
• Hedging options for a large investor and forward-backward SDE's
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Forward-backward linear quadratic stochastic optimal control problem with delay
• A type of general forward-backward stochastic differential equations and applications
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem

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