Generalized fractional BSDE with non Lipschitz coefficients

DOI10.1007/s13370-015-0354-3zbMath1386.60189OpenAlexW1107989424MaRDI QIDQ1689692

Ahmadou Bamba Sow, Sadibou Aidara

Publication date: 17 January 2018

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-015-0354-3

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationMalliavin derivative

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

Deplay BSDEs driven by fractional Brownian motion ⋮ Generalized BDSDEs driven by fractional Brownian motion ⋮ Delay BSDEs driven by fractional Brownian motion ⋮ Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients ⋮ BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients ⋮ Fractional backward SDEs with locally monotone coefficient and application to PDEs ⋮ Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion ⋮ Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients ⋮ Fractional anticipated BSDEs with stochastic Lipschitz coefficients ⋮ Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

Cites Work

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• Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
• Backward stochastic differential equations with non-Lipschitz coefficients
• Stochastic analysis of the fractional Brownian motion
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized BSDEs driven by fractional Brownian motion
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• BSDE with jumps and non-Lipschitz coefficients: application to large deviations
• Explicit solutions of a class of linear fractional BSDEs
• An inequality of the Hölder type, connected with Stieltjes integration
• Integral transformations and anticipative calculus for fractional Brownian motions
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

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