Generalized BDSDEs driven by fractional Brownian motion

DOI10.1515/MSDS-2022-0167zbMath1524.60116OpenAlexW4386807353MaRDI QIDQ6054113

Assane Ndiaye, Ahmadou Bamba Sow, Sadibou Aidara

Publication date: 24 October 2023

Published in: Nonautonomous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/msds-2022-0167

zbMATH Keywords

backward stochastic differential equationLipschitz coefficientsMalliavin derivative and fractional Itô's formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Adapted solution of a backward stochastic differential equation
• Stochastic analysis of the fractional Brownian motion
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized fractional BSDE with non Lipschitz coefficients
• BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
• Integral transformations and anticipative calculus for fractional Brownian motions
• Backward Stochastic Differential Equation Driven by Fractional Brownian Motion

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