Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients

DOI10.1515/ROSE-2020-2051zbMath1470.60141OpenAlexW3128401631MaRDI QIDQ2022312

Yaya Sagna, Sadibou Aidara

Publication date: 28 April 2021

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2051

zbMATH Keywords

fractional Brownian motionJensen inequalityMalliavin derivativeanticipated backward stochastic differential equationGronwall's lemmafractional Itô's formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions

Cites Work

• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with non-Lipschitz coefficients
• Generalized fractional BSDE with non Lipschitz coefficients
• Anticipated backward stochastic differential equations
• Integral transformations and anticipative calculus for fractional Brownian motions
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

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