Anticipative backward stochastic differential equations driven by fractional Brownian motion

Jiaqiang Wen and Yufeng Shi

Statistics & Probability Letters, 2017, vol. 122, issue C, 118-127

Abstract: We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. We obtain the existence and uniqueness theorem to these equations under the Lipschitz condition. A comparison theorem for this type of anticipative BSDEs is also established.

Keywords: Anticipative backward stochastic differential equation; Fractional Brownian motion; Comparison theorem (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2016.11.011

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