BACKWARD STOCHASTIC VARIATIONAL INEQUALITIES DRIVEN BY MULTIDIMENSIONAL FRACTIONAL BROWNIAN MOTION

被引：4

作者：

Borkowski, Dariusz ^{[1
]}

Janczak-Borkowska, Katarzyna ^{[2
]}

机构：

[1] Nicolaus Copernicus Univ, Fac Math & Comp Sci, Ul Chopina 12-18, PL-87100 Torun, Poland

[2] Univ Sci & Technol, Inst Math & Phys, Al Prof S Kaliskiego 7, PL-85796 Bydgoszcz, Poland

来源：

OPUSCULA MATHEMATICA | 2018年 / 38卷 / 03期

关键词：

backward stochastic differential equation; fractional Brownian motion; backward stochastic variational inequalities; subdifferential operator;

D O I：

10.7494/OpMath.2018.38.3.307

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the existence and uniqueness of the backward stochastic variational inequalities driven by m-dimensional fractional Brownian motion with Hurst parameters H-k (k = 1, ... m) greater than 1/2. The stochastic integral used throughout the paper is the divergence type integral.

引用

页码：307 / 326

页数：20

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