Backward SDEs driven by Gaussian processes

Christian Bender

Stochastic Processes and their Applications, 2014, vol. 124, issue 9, 2892-2916

Abstract: In this paper we discuss existence and uniqueness results for BSDEs driven by centered Gaussian processes. Compared to the existing literature on Gaussian BSDEs, which mainly treats fractional Brownian motion with Hurst parameter H>1/2, our main contributions are: (i) Our results cover a wide class of Gaussian processes as driving processes including fractional Brownian motion with arbitrary Hurst parameter H∈(0,1); (ii) the assumptions on the generator f are mild and include e.g. the case when f has (super-)quadratic growth in z; (iii) the proofs are based on transferring the problem to an auxiliary BSDE driven by a Brownian motion.

Keywords: Backward SDEs; Fractional Brownian motion; Gaussian processes; Wick–Itô integration (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414914000726
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:9:p:2892-2916

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2014.03.013

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().