Anticipative backward stochastic differential equations driven by fractional Brownian motion

Jiaqiang Wen; Yufeng Shi

doi:10.1016/j.spl.2016.11.011

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arXiv · 1604.01847

Anticipative backward stochastic differential equations driven by fractional Brownian motion

Jiaqiang Wen·Yufeng Shi

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Abstract

We study the anticipative backward stochastic differential equations (BSDEs, for short) 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. We obtain the existence and uniqueness of solutions to these equations. A comparison theorem for this type of anticipative BSDEs is also established.

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Jiaqiang Wen, Yufeng Shi. 2016-11-28. Anticipative backward stochastic differential equations driven by fractional Brownian motion. https://doi.org/10.1016/j.spl.2016.11.011

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