Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

DOI10.1214/15-BJPS291zbMath1366.60071OpenAlexW2495679717MaRDI QIDQ318984

Dariusz Borkowski, Katarzyna Jańczak-Borkowska

Publication date: 6 October 2016

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1469807224

zbMATH Keywords

fractional Brownian motionbackward stochastic differential equationbackward stochastic variational inequalitiessubdifferential operator

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion ⋮ Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

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