Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients

Xianye Yu and Mingbo Zhang

Statistics & Probability Letters, 2020, vol. 159, issue C

Abstract: In this paper, we study the backward stochastic differential equations driven by fractional Brownian motion with Hurst parameter H greater than 1∕2, where the coefficient is non-Lipschitz continuous and the stochastic integral is the Skorohod integral.

Keywords: Backward stochastic differential equation; Fractional Brownian motion; Non-Lipschitz (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108681

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