Generalized delay BSDE driven by fractional Brownian motion

被引：0

作者：

Sane, Ibrahima ^{[1
]}

Aidara, Sadibou ^{[2
]}

Diallo, Amadou Saikou ^{[1
]}

Manga, Clement ^{[1
]}

机构：

[1] Assane SECK Univ, Dept Math, Lab Math & Applicat, Ziguinchor, Senegal

[2] Gaston Berger Univ, Dept Math, Lab Math & Applicat, St Louis, Senegal

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2024年

关键词：

Fractional Brownian motion; backward stochastic differential equation; Malliavin derivative;

D O I：

10.1515/rose-2024-2026

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with a class of Generalized delay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 \frac{1}{2} ). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients. This paper is an extension of the first paper from [S. Aidara and I. Sane, Deplay BSDEs driven by fractional Brownian motion, Random Oper. Stoch. Equ. 30 2022, 1, 21-31]. The stochastic integral used throughout this paper is the divergence-type integral.

引用

页码：407 / 414

页数：8

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