分数布朗运动驱动的时滞BSDEs

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2023-07-26 DOI:10.1515/rose-2023-2014

Sadibou Aidara, Ibrahima Sané

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引用次数: 0

摘要

摘要本文研究了一类分数布朗运动驱动的时滞后向随机微分方程（Hurst参数H大于12）。在这种类型的方程中，时间t的生成器不仅可以依赖于现在的解，还可以依赖于过去的解。在Lipschitz系数和非Lipschitz-系数的情况下，我们本质上建立了解的存在性和唯一性。本文中使用的随机积分是一个发散型积分。

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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Delay BSDEs driven by fractional Brownian motion

Abstract This paper deals with a class of delay 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 on 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 the paper is a 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