Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

Dariusz Borkowski; Katarzyna Jańczak-Borkowska

doi:10.1214/15-BJPS291

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August 2016 Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

Dariusz Borkowski, Katarzyna Jańczak-Borkowska

Braz. J. Probab. Stat. 30(3): 502-519 (August 2016). DOI: 10.1214/15-BJPS291

Abstract

We study the existence and uniqueness of the generalized reflected backward stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H$ greater than $1/2$. The stochastic integral used throughout the paper is the divergence type integral.

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Dariusz Borkowski. Katarzyna Jańczak-Borkowska. "Generalized backward stochastic variational inequalities driven by a fractional Brownian motion." Braz. J. Probab. Stat. 30 (3) 502 - 519, August 2016. https://doi.org/10.1214/15-BJPS291

Information

Received: 1 August 2014; Accepted: 1 April 2015; Published: August 2016

First available in Project Euclid: 29 July 2016

zbMATH: 1366.60071

MathSciNet: MR3531696

Digital Object Identifier: 10.1214/15-BJPS291

Keywords: backward stochastic differential equation , backward stochastic variational inequalities , fractional Brownian motion , subdifferential operator