Article ID Journal Published Year Pages File Type
4628354 Applied Mathematics and Computation 2014 8 Pages PDF
Abstract
The backward stochastic differential equations (BSDEs) driven by fractional Brownian motion are studied. As an important tool, the quasi-conditional expectation is used. The general forms of Jensen's inequality of quasi-conditional expectation are proved. For the linear BSDEs, their solutions are represented by using the quasi-conditional expectation. Moreover, the comparison theorem and comonotonic theorem of the solutions of linear BSDEs are derived.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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