Existence and Uniqueness Result for Backward Stochastic Differential Equation Driven by Fractional Brownian Motion with the Generator is Lipschitz Continuous in Y and Uniformly Continuous in Z

Yanqing Xiao ,Jiezhong Zou

doi:10.1109/iceice.2012.592

Existence and Uniqueness Result for Backward Stochastic Differential Equation Driven by Fractional Brownian Motion with the Generator is Lipschitz Continuous in Y and Uniformly Continuous in Z

Yanqing Xiao , Jiezhong Zou

https://doi.org/10.1109/iceice.2012.592

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Publication Date: Apr 6, 2012

#Fractional Brownian Motion #Uniformly Continuous + Show 8 more

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Abstract

We study a backward stochastic differential equation driven by fractional Brownian motion whose generator is Lipschitz continuous in y and uniformly continuous in z, we give a result of existence and uniqueness for the solution to this equation. The main idea consists in quasi-conditional expectation for fractional Brownian motion.

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