|Table of Contents|

Lp Solutions of Backward Stochastic Differential Equations Driven by Fractional Brownian Motions(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2015年04期
Page:
14-
Research Field:
数学
Publishing date:

Info

Title:
Lp Solutions of Backward Stochastic Differential Equations Driven by Fractional Brownian Motions
Author(s):
Lin Lin1; Li Geng2
1.School of Mathematical Sciences，Nanjing Normal University，Nanjing 210023，China)（2.School of Mathematical Sciences，Fudan University，Shanghai 200433，China
Keywords:
backward stochastic differential equations; fractional Brownian motions; [Lpp≥2] solutions; localization method
PACS:
62M05，60H10
DOI:
-
Abstract:
Recently，backward stochastic differential equations driven by fractional Brownian motion play an important role in mathematical finance，partial differential equations and other fields. In our paper，by the localization method and the generalized Ito formula，we consider the [Lpp≥2]solutions of backward stochastic differential equations driven by fractional Brownian motions under reasonable assumptions.

References:

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Memo

Memo:
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Last Update: 2015-12-30