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Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients

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  • Yu, Xianye
  • Zhang, Mingbo

Abstract

In this paper, we study the backward stochastic differential equations driven by fractional Brownian motion with Hurst parameter H greater than 1∕2, where the coefficient is non-Lipschitz continuous and the stochastic integral is the Skorohod integral.

Suggested Citation

  • Yu, Xianye & Zhang, Mingbo, 2020. "Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:stapro:v:159:y:2020:i:c:s016771521930327x
    DOI: 10.1016/j.spl.2019.108681
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    References listed on IDEAS

    as
    1. Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
    2. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    3. Buckdahn, Rainer & Li, Juan & Peng, Shige, 2009. "Mean-field backward stochastic differential equations and related partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3133-3154, October.
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