Linear backward stochastic differential equations with Gaussian Volterra processes

DOI10.15559/20-VMSTA166zbMath1476.35115arXiv1912.00054MaRDI QIDQ2240074

Habiba Knani, Marco E. Dozzi

Publication date: 5 November 2021

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.00054

zbMATH Keywords

Malliavin calculuspartial differential equationbackward stochastic differential equationItô formulaGaussian Volterra process

Mathematics Subject Classification ID

Gaussian processes (60G15) 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) Second-order parabolic equations (35K10)

Related Items (1)

Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process

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