Backward SDEs driven by Gaussian processes
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Publication:740188
DOI10.1016/j.spa.2014.03.013zbMath1329.60173OpenAlexW2057332445MaRDI QIDQ740188
Publication date: 2 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2014.03.013
fractional Brownian motionGaussian processesbackward stochastic differential equationsWick-Itō integration
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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