BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients

DOI10.2478/AMNS.2019.1.00014WikidataQ127567084 ScholiaQ127567084MaRDI QIDQ2690814

Yaya Sagna, Sadibou Aidara

Publication date: 17 March 2023

Published in: Applied Mathematics and Nonlinear Sciences (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationMalliavin derivative and fractional Itô's formulastochastic Lipschitz coefficients

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 (8)

Meteorological sequence prediction based on multivariate space-time auto regression model and fractional calculus grey model ⋮ Generalized BDSDEs driven by fractional Brownian motion ⋮ On applications of bipartite graph associated with algebraic structures ⋮ Delay BSDEs driven by fractional Brownian motion ⋮ Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients ⋮ Higher order robust numerical computation for singularly perturbed problem involving discontinuous convective and source term ⋮ Computing forgotten topological index of extremal cactus chains ⋮ 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
• Stochastic analysis of the fractional Brownian motion
• 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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