Existence and uniqueness of solution for fully coupled fractional forward–backward stochastic differential equations with delay and anticipated term

Ri Kyong-Il and Sin Myong-Guk

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: This paper deals with fully coupled fractional forward–backward stochastic differential equations (FBSDEs) with delay and anticipated term. In these equations the coefficients depend on not only the future state but also the past one. We investigate the existence and uniqueness result for such FBSDEs by using the method of continuation. We also obtain a comparison theorem.

Keywords: Fractional Brownian motion; Stochastic differential delay equations; Anticipative backward stochastic differential equations; Forward–backward stochastic differential equations; Method of continuation (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109954

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