Anticipative backward stochastic differential equations driven by fractional Brownian motion

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• 作者：Jiaqiang Wen^a ; Yufeng Shi^b ; ^a ; ^{yfshi@sdu.edu.cn}
• 关键词：60H10 ; 60H20 ; 60G22
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：118-127
• 全文大小：416 K
• 卷排序：122

文摘

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 theorem to these equations under the Lipschitz condition. A comparison theorem for this type of anticipative BSDEs is also established.