Anticipated backward doubly stochastic differential equations with non-Liphschitz coefficients-Reference-Cited by-同舟云学术

Anticipated backward doubly stochastic differential equations with non-Liphschitz coefficients

Published:2019-01-01 Issue:1 Volume:4 Page:101-112
ISSN:2444-8656
Container-title:Applied Mathematics and Nonlinear Sciences
language:en
Short-container-title:

Author:

Aidara Sadibou¹²³

Affiliation:

1. UFR Sciences Appliquées et de Technologie , Université Gaston Berger , BP 234 , Saint-Louis , Senegal

2. Institut International des Sciences et Technologie , Dakar , Senegal

3. Ecole Supérieure de Technologie et de Management , Dakar , Senegal

Abstract

Abstract In this work, we deal with a backward stochastic differential equation driven by two mutually independent fractional Brownian motions (with Hurst parameter greater than 1/2). We establish the existence and uniqueness of the solution in the case of non-Lipschitz condition on the generator. The stochastic integral used throughout the paper is the divergence-type integral.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Engineering (miscellaneous),Modeling and Simulation,General Computer Science

Link

https://www.sciendo.com/pdf/10.2478/AMNS.2019.1.00011

Reference10 articles.

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4. E. Pardoux, S. Peng: Adapted solution of a backward stochastic differential equation, Systems Control Lett, 114, 55-61, (1990).

5. É. Pardoux, S. Peng: Backward doubly stochastic differential equations and semilinear PDEs, Probability Theory and Related Fields, 98, 209-227, (1994).

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