Solutions to BSDEs driven by multidimensional fractional Brownian motions

DOI10.1155/2015/481842zbMath1393.60062OpenAlexW1633050291WikidataQ59118694 ScholiaQ59118694MaRDI QIDQ1665780

Jie Miao, Xu Yang

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/481842

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion ⋮ Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach

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