Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions

DOI10.1016/S0252-9602(18)30774-4zbMath1399.60093OpenAlexW2794168887MaRDI QIDQ1637053

Yifang Sun, Yuecai Han

Publication date: 7 June 2018

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(18)30774-4

zbMATH Keywords

Malliavin calculusfractional Brownian motionsbackward stochastic differential equationsItô formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ A stochastic maximum principle for general controlled systems driven by fractional Brownian motions

Cites Work

• Unnamed Item
• Unnamed Item
• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Maximum principle for general controlled systems driven by fractional Brownian motions
• Backward stochastic differential equations with rough drivers
• Adapted solution of a backward stochastic differential equation
• Itô's formula with respect to fractional Brownian motion and its application
• Conjugate convex functions in optimal stochastic control
• Differential equations driven by fractional Brownian motion
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
• Explicit solutions of a class of linear fractional BSDEs
• Integral transformations and anticipative calculus for fractional Brownian motions
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• A General Stochastic Maximum Principle for Optimal Control Problems
• The Malliavin Calculus and Related Topics
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
• An Introductory Approach to Duality in Optimal Stochastic Control
• Stochastic analysis of fractional brownian motions
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Partial Information Linear Quadratic Control for Jump Diffusions
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

This page was built for publication: Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions