article · Advances in Differential Equations and Control Processes

GENERALIZED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY TWO MUTUALLY INDEPENDENT FRACTIONAL BROWNIAN MOTIONS

20241 citationOpen accessUniversité Gaston Berger

Abstract

This paper deals with a class of generalized backward stochastic differential equations driven by two mutually independent fractional Brownian motions (FGBSDEs in short). The existence and uniqueness of solutions for FGBSDE as well as a comparison theorem are obtained.

Research topics

Stochastic processes and financial applications
Differential Equations and Numerical Methods

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DOI: 10.17654/0974324324032

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