Backward SDEs driven by Gaussian processes
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Publication:740188
DOI10.1016/J.SPA.2014.03.013zbMATH Open1329.60173OpenAlexW2057332445MaRDI QIDQ740188FDOQ740188
Authors: Christian Bender 
Publication date: 2 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2014.03.013
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Gaussian processesfractional Brownian motionbackward stochastic differential equationsWick-Itō integration
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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Cited In (13)
- Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients
- A generalised Itō formula for Lévy-driven Volterra processes
- Itô's formula for Gaussian processes with stochastic discontinuities
- Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
- Linear backward stochastic differential equations with Gaussian Volterra processes
- On the uniqueness of solutions to quadratic BSDEs with non-convex generators
- Mean-field backward stochastic differential equations driven by fractional Brownian motion
- Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
- Title not available (Why is that?)
- Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
- Anticipative backward stochastic differential equations driven by fractional Brownian motion
- Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
- A general non-existence result for linear BSDEs driven by Gaussian processes
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