Anticipated BSDEs driven by fractional Brownian motion with time-delayed generator

arXiv2305.13568MaRDI QIDQ6437587FDOQ6437587

Authors: Pei Zhang, Nur Anisah Mohamed, Adriana Irawati Nur Ibrahim 

Publication date: 22 May 2023

Abstract: This paper discusses a new type of anticipated backward stochastic differential equation with a time-delayed generator (DABSDEs, for short) driven by fractional Brownian motion, also known as fractional BSDEs, with Hurst parameter $Hin(1/2,1)$, which extends the results of the anticipated backward stochastic differential equation to the case of the drive is fractional Brownian motion instead of a standard Brownian motion and in which the generator considers not only the present and future times but also the past time. By using the fixed point theorem, we will demonstrate the existence and uniqueness of the solutions to these equations. Moreover, we shall establish a comparison theorem for the solutions.

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