<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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.</p>
</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.

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

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially...

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

Publié en ligne: 25 juin 2019

Pages: 139 - 150

Reçu: 09 mars 2019

Accepté: 25 avr. 2019

DOI: https://doi.org/10.2478/AMNS.2019.1.00014

Mots clés
backward stochastic differential equation, stochastic Lipschitz coefficients, Malliavin derivative and fractional Itô’s formula

© 2019 Sadibou Aidara and Yaya Sagna, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

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

Publié en ligne: 25 juin 2019

Pages: 139 - 150

Reçu: 09 mars 2019

Accepté: 25 avr. 2019

DOI: https://doi.org/10.2478/AMNS.2019.1.00014

Mots clésbackward stochastic differential equation, stochastic Lipschitz coefficients, Malliavin derivative and fractional Itô’s formula

© 2019 Sadibou Aidara and Yaya Sagna, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
backward stochastic differential equation, stochastic Lipschitz coefficients, Malliavin derivative and fractional Itô’s formula