Abstract
We prove the existence and uniqueness of the solution of backward stochastic variational inequalities with respect to fractional Brownian motion and with non-Lipschitz coefficient. We assume that $H>1/2$.
Citation
Katarzyna Jańczak-Borkowska. "Fractional backward stochastic variational inequalities with non-Lipschitz coefficient." Braz. J. Probab. Stat. 33 (3) 480 - 497, August 2019. https://doi.org/10.1214/18-BJPS398
Information
