BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients-Reference-Cited by-同舟云学术

BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients

Published:2019-01-01 Issue:1 Volume:4 Page:139-150
ISSN:2444-8656
Container-title:Applied Mathematics and Nonlinear Sciences
language:en
Short-container-title:

Author:

Aidara Sadibou¹,Sagna Yaya²

Affiliation:

1. Université Gaston Berger , BP 234 , Saint-Louis , Sénégal

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

Abstract

Abstract This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients. 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.2019.1.00014

Reference10 articles.

1. S. Aidara and A. B. Sow, Generalized fractional backward stochastic differential equation with non Lipschitz coefficients. Afr. Mat. 27(2016), no. 3-4, 443-455.

2. S. Aidara Backward stochastic differential equations driven by two mutually independent fractional Brownian motions. Applied Mathematics and Nonlinear Science-D-19-00001R1, (2019).

3. L. Decreusefond, A.S. Ustunel, Stochastic analysis of the fractional Brownian motion. Potential Anal. 10 (1998), 177-214,.

4. Fei, W. & Xia, D. & Zhang, S. . Solutions to BSDEs driven by Both Standard and Fractional Brownian Motions. Acta Mathematicae Applicatae Sinica, English Series, 329-354, (2013).

5. Y. Hu, Integral transformation and anticipative calculus for fractional Brownian motion. Mem. Amer. Math. Soc. 175 (2005).

Cited by 28 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

1. Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients;Random Operators and Stochastic Equations;2024-01-11

2. Delay BSDEs driven by fractional Brownian motion;Random Operators and Stochastic Equations;2023-07-26

3. Bitcoin Forecasting Performance Measurement: A Comparative Study of Econometric, Machine Learning and Artificial Intelligence-Based Models;Journal of International Commerce, Economics and Policy;2023-02-09

4. Fractional backward SDEs with locally monotone coefficient and application to PDEs;Random Operators and Stochastic Equations;2023-01-30

5. Generalized BDSDEs driven by fractional Brownian motion;Nonautonomous Dynamical Systems;2023-01-01