293 citations
- Freie Universität BerlinDE24 papers
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Showing 2010 · math.PRShow all
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math.PR2010★ 2 cited
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…
math.PR2010
The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
Ivan Nourdin, Anthony Réveillac, Jason Swanson
Let be a fractional Brownian motion with Hurst parameter . It is known that the symmetric Stratonovich-style Riemann sums for do not, in general, c…