The -Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs

Zhi Wang and Litan Yan

Advances in Mathematical Physics, 2013, vol. 2013, 1-11

Abstract:

Let be a subfractional Brownian motion with index . Based on the -transform in white noise analysis we study the stochastic integral with respect to , and we also prove a Girsanov theorem and derive an Itô formula. As an application we study the solutions of backward stochastic differential equations driven by of the form , where the stochastic integral used in the above equation is Pettis integral. We obtain the explicit solutions of this class of equations under suitable assumptions.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlamp:827192

DOI: 10.1155/2013/827192

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