Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153075 | Statistics & Probability Letters | 2013 | 7 Pages |
Abstract
We study the existence an uniqueness of generalized backward stochastic differential equation driven by fractional Brownian motion with Hurst parameter HH greater than 1/21/2. The stochastic integral used throughout the paper is the divergence operator type integral. Moreover, we show the connection between this solution and the solution of parabolic partial differential equation with Neumann boundary condition.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Katarzyna Jańczak-Borkowska,