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

DOI10.1016/J.SPL.2023.109954MaRDI QIDQ6192578zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(3)

• Properties of solution for fully coupled fractional mean-field forward-backward stochastic differential equation
• Solution to a generalized FBSDE with delay and anticipated terms and applications to control problem with time-varying delay
• Fully coupled forward-backward stochastic differential equations driven by sub-diffusions

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