Article ID Journal Published Year Pages File Type
1153075 Statistics & Probability Letters 2013 7 Pages PDF
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
,