Properties of solution of fractional backward stochastic differential equation

DOI10.1016/j.amc.2013.11.081zbMath1364.60078OpenAlexW2074097410WikidataQ115361485 ScholiaQ115361485MaRDI QIDQ529939

Hui Zhang

Publication date: 9 June 2017

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.081

zbMATH Keywords

fractional Brownian motioncomparison theoremJensen's inequalitybackward stochastic differential equationquasi-conditional expectationcomonotonic theorem

Mathematics Subject Classification ID

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

Related Items (3)

Solutions to BSDEs driven by multidimensional fractional Brownian motions ⋮ Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes ⋮ Linear backward stochastic differential equations with Gaussian Volterra processes

Cites Work

• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• On Jensen's inequality for \(g\)-expectation
• A comonotonic theorem for BSDEs
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
• Backward Stochastic Differential Equations in Finance
• Stochastic Control for Linear Systems Driven by Fractional Noises
• Stochastic Calculus for Fractional Brownian Motion and Applications
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