| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10413098 | Systems & Control Letters | 2005 | 10 Pages |
Abstract
We obtain explicit solutions for a class of linear backward stochastic differential equations driven by a fractional Brownian motion with arbitrary Hurst parameter via the solution of a partial differential equation and a fractional Itô formula.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Christian Bender,