Generalized BSDEs driven by fractional Brownian motion

Katarzyna Jańczak-Borkowska

Statistics & Probability Letters, 2013, vol. 83, issue 3, 805-811

Abstract: We study the existence an uniqueness of generalized backward stochastic differential equation 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. Moreover, we show the connection between this solution and the solution of parabolic partial differential equation with Neumann boundary condition.

Keywords: Fractional Brownian motion; Backward stochastic differential equations (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.11.029

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