Nonlinear Fractional Backward Doubly Stochastic Differential Equations with Hurst Parameter in (1/2,1)

Shuai Jing

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arXiv · 1103.3366

Nonlinear Fractional Backward Doubly Stochastic Differential Equations with Hurst Parameter in (1/2,1)

Shuai Jing

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Abstract

We first state a special type of Itô formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential equations, driven by both standard and fractional Brownian motions, and backward stochastic differential equations, driven only by standard Brownian motions. Following the same technique, we further study associated nonlinear stochastic partial differential equations driven by fractional Brownian motions and partial differential equations with stochastic coefficients.

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Shuai Jing. 2011-03-17. Nonlinear Fractional Backward Doubly Stochastic Differential Equations with Hurst Parameter in (1/2,1). https://arxiv.org/abs/1103.3366

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