Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions

DOI10.1080/00036811.2021.2021188zbMath1517.60057OpenAlexW4200292071MaRDI QIDQ6170985

Yaya Sagna, Sadibou Aidara, Ibrahima Faye

Publication date: 10 August 2023

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2021.2021188

zbMATH Keywords

fractional Brownian motionstochastic calculusbackward stochastic differential equationaveraging principleChebyshev's inequality and Itô's representation formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Solutions to BSDEs driven by both standard and fractional Brownian motions
• Stochastic averaging principle for dynamical systems with fractional Brownian motion
• Adapted solution of a backward stochastic differential equation
• Anticipated BSDEs driven by two mutually independent fractional Brownian motions with non-Lipschitz coefficients
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Explicit solutions of a class of linear fractional BSDEs
• Averaging principle for backward stochastic differential equations
• 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
• A veraging principle for multivalued stochastic differential equations

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