A general non-existence result for linear BSDEs driven by Gaussian processes

Christian Bender and Lauri Viitasaari

Stochastic Processes and their Applications, 2017, vol. 127, issue 4, 1204-1233

Abstract: In this paper, we study linear backward stochastic differential equations driven by a class of centered Gaussian non-martingales, including fractional Brownian motion with Hurst parameter H∈(0,1)∖{12}. We show that, for every choice of deterministic coefficient functions, there is a square integrable terminal condition such that the equation has no solution.

Keywords: BSDEs; Gaussian processes; Skorokhod integration (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:4:p:1204-1233

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DOI: 10.1016/j.spa.2016.07.012

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