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- Title
Deplay BSDEs driven by fractional Brownian motion.
- Authors
Aidara, Sadibou; Sane, Ibrahima
- Abstract
This paper deals with a class of deplay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 {\frac{1}{2}}). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients and non-Lipschitz coefficients. The stochastic integral used throughout this paper is the divergence-type integral.
- Subjects
WIENER processes; BROWNIAN motion; STOCHASTIC differential equations; STOCHASTIC integrals; FRACTIONAL differential equations
- Publication
Random Operators & Stochastic Equations, 2022, Vol 30, Issue 1, p21
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2021-2069