Author:
Sow Ahmadou Bamba,Diouf Bassirou Kor
Abstract
Abstract
In this paper, we deal with an anticipated backward stochastic differential equation driven by a fractional Brownian motion with Hurst parameter
{H\in(1/2,1)}
. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients and prove a comparison theorem in a specific case.
Subject
Statistics and Probability,Analysis
Reference20 articles.
1. Adapted solution of a backward stochastic differential equation;Systems Control Lett.,1990
2. Anticipated backward stochastic differential equation with stochastic lipschitz coefficients;Preprint
3. Generalized BSDEs driven by fractional Brownian motion;Statist. Probab. Lett.,2013
4. Backward stochastic differential equation driven by fractional Brownian motion;SIAM J. Control Optim.,2009
5. Generalized fractional backward stochastic differential equation with non Lipschitz coefficients;Afr. Mat.,2016
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献