Anticipative backward stochastic differential equations driven by fractional Brownian motion
arXiv:1604.01847 · doi:10.1016/j.spl.2016.11.011
Abstract
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 of solutions to these equations. A comparison theorem for this type of anticipative BSDEs is also established.
13 pages, Statistics and Probability Letters (2016)
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