Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients

DOI10.1016/j.spl.2019.108681zbMath1436.60059OpenAlexW2995541773MaRDI QIDQ1987667

Mingbo Zhang, Xianye Yu

Publication date: 15 April 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108681

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationnon-Lipschitz

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 (3)

Fuzzy permutation entropy derived from a novel distance between segments of time series ⋮ Fractional backward SDEs with locally monotone coefficient and application to PDEs ⋮ Stochastic stabilization of Markovian jump neutral systems with fractional Brownian motion and quantized controller

Cites Work

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• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Explicit solutions of a class of linear fractional BSDEs
• Integral transformations and anticipative calculus for fractional Brownian motions
• The Malliavin Calculus and Related Topics
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory

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