Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion

Xianye Yu

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: In this paper, we obtain the existence and uniqueness of the solutions of anticipated backward stochastic differential equations driven by fractional Brownian motion under the non-Lipschitz condition, where Hurst index H is greater than 1∕2 and the associated stochastic integral is the Skorohod integral.

Keywords: Anticipated backward stochastic differential equation; Non-Lipschitz; Fractional Brownian motion; Malliavin calculus (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.108582

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