Work

BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients

Year: 2019

Type: article

Abstract: This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients. The stochastic integral used throughout the paper is the divergence-type integral.

Source: Applied Mathematics and Nonlinear Sciences

DOI: 10.2478/amns.2019.1.00014

Authors: Sadibou Aidara, Yaya Sagna

Institutions: Université Gaston Berger, Institut International des Sciences et de Technologie

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,500

OpenAlex ID: W2953869233