Generalized BSDEs driven by fractional Brownian motion

We study the existence an uniqueness of generalized backward stochastic differential equation driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. Moreover, we show the connection between this solution and the solution of parabolic partial differential equation with Neumann boundary condition.

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Year of publication:	2013
Authors:	Jańczak-Borkowska, Katarzyna
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 805-811
Publisher:	Elsevier
Subject:	Fractional Brownian motion \| Backward stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039829