分数布朗运动驱动的Deplay BSDE

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2022-01-06 DOI:10.1515/rose-2021-2069

Sadibou Aidara, Ibrahima Sané

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引用次数: 0

摘要

摘要研究一类分数阶布朗运动驱动的后向随机微分方程(赫斯特参数H大于1 2 {\frac{1}{2}})。在这种类型的方程中，时刻t的生成器不仅依赖于现在的解，也依赖于过去的解。我们从本质上建立了在Lipschitz系数和非Lipschitz系数情况下解的存在唯一性。本文所使用的随机积分是散度型积分。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Deplay BSDEs driven by fractional Brownian motion

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.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量