Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527360 | Stochastic Processes and their Applications | 2014 | 25 Pages |
Abstract
In this paper we discuss existence and uniqueness results for BSDEs driven by centered Gaussian processes. Compared to the existing literature on Gaussian BSDEs, which mainly treats fractional Brownian motion with Hurst parameter H>1/2, our main contributions are: (i) Our results cover a wide class of Gaussian processes as driving processes including fractional Brownian motion with arbitrary Hurst parameter Hâ(0,1); (ii) the assumptions on the generator f are mild and include e.g. the case when f has (super-)quadratic growth in z; (iii) the proofs are based on transferring the problem to an auxiliary BSDE driven by a Brownian motion.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Christian Bender,