Solutions to BSDEs Driven by Multidimensional Fractional Brownian Motions

Jie Miao and Xu Yang

Mathematical Problems in Engineering, 2015, vol. 2015, 1-12

Abstract:

We study more general backward stochastic differential equations driven by multidimensional fractional Brownian motions. Introducing the concept of the multidimensional fractional (or quasi-) conditional expectation, we study some of its properties. Using the quasi-conditional expectation and multidimensional fractional Itô formula, we obtain the existence and uniqueness of the solutions to BSDEs driven by multidimensional fractional Brownian motions, where a fixed point principle is employed. Finally, solutions to linear fractional backward stochastic differential equations are investigated.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:481842

DOI: 10.1155/2015/481842

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