Backward SDEs driven by Gaussian processes

被引：12

作者：

Bender, Christian ^{[1
]}

机构：

[1] Univ Saarland, Dept Math, D-66041 Saarbrucken, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 09期

关键词：

Backward SDEs; Fractional Brownian motion; Gaussian processes; Wick-Ito integration; STOCHASTIC DIFFERENTIAL-EQUATIONS; FRACTIONAL BROWNIAN-MOTION; WHITE-NOISE THEORY; ITO FORMULA; CALCULUS; INTEGRANDS; RESPECT; BSDES;

D O I：

10.1016/j.spa.2014.03.013

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：

In this paper we discuss existence and uniqueness results for BSDEs driven by centered Gaussian processes. Compared to the existing literature on Gaussian BSDEs, which mainly treats fractional Brownian motion with Hurst parameter H > 1/2, our main contributions are: (i) Our results cover a wide class of Gaussian processes as driving processes including fractional Brownian motion with arbitrary Hurst parameter H is an element of (0, 1); (ii) the assumptions on the generator f are mild and include e.g. the case when f has (super-)quadratic growth in z; (iii) the proofs are based on transferring the problem to an auxiliary BSDE driven by a Brownian motion. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：2892 / 2916

页数：25

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