Delay BSDEs driven by fractional Brownian motion

DOI10.1515/rose-2023-2014zbMath1525.60067MaRDI QIDQ6073721

Ibrahima Sane, Sadibou Aidara

Publication date: 18 September 2023

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionBSDE

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with non-Lipschitz coefficients
• Generalized fractional BSDE with non Lipschitz coefficients
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Explicit solutions of a class of linear fractional BSDEs
• 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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