Anticipative backward stochastic differential equations driven by fractional Brownian motion

作者：Wen, Jiaqiang; Shi, Yufeng^*

来源：Statistics & Probability Letters, 2017, 122: 118-127.

DOI：10.1016/j.spl.2016.11.011

• Anticipative backward stochastic differential equation
• Fractional Brownian motion
• Comparison theorem

We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. We obtain the existence and uniqueness theorem to these equations under the Lipschitz condition. A comparison theorem for this type of anticipative BSDEs is also established.

• 出版日期2017-3
• 单位山东财经大学; 山东大学