BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
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25. Juni 2019
Über diesen Artikel
Online veröffentlicht: 25. Juni 2019
Seitenbereich: 139 - 150
Eingereicht: 09. März 2019
Akzeptiert: 25. Apr. 2019
DOI: https://doi.org/10.2478/AMNS.2019.1.00014
Schlüsselwörter
© 2019 Sadibou Aidara and Yaya Sagna, published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients. The stochastic integral used throughout the paper is the divergence-type integral.