Articlegold2019

BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients

28 citations0/0 files storedApplied Mathematics and Nonlinear Sciences

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

Abstract This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients. The stochastic integral used throughout the paper is the divergence-type integral.

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References

1990Adapted solution of a backward stochastic differential equation 1999Stochastic Analysis of the Fractional Brownian Motion 2012ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 2005Integral transformations and anticipative calculus for fractional Brownian motions 2009Anticipated backward stochastic differential equations 2009Backward Stochastic Differential Equation Driven by Fractional Brownian Motion 2009Backward stochastic differential equations with non-Lipschitz coefficients

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