BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
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25 jun 2019
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Publicado en línea: 25 jun 2019
Páginas: 139 - 150
Recibido: 09 mar 2019
Aceptado: 25 abr 2019
DOI: https://doi.org/10.2478/AMNS.2019.1.00014
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© 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.