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Solutions to BSDEs Driven by Multidimensional Fractional Brownian Motions
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-09-16
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We study more general backward stochastic differential equations driven by multidimensional fractional Brownian motions.
Introducing the concept of the multidimensional fractional (or quasi-) conditional expectation, we study some of its properties.
Using the quasi-conditional expectation and multidimensional fractional Itô formula, we obtain the existence and uniqueness of the solutions to BSDEs driven by multidimensional fractional Brownian motions, where a fixed point principle is employed.
Finally, solutions to linear fractional backward stochastic differential equations are investigated.
American Psychological Association (APA)
Miao, Jie& Yang, Xu. 2015. Solutions to BSDEs Driven by Multidimensional Fractional Brownian Motions. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1073930
Modern Language Association (MLA)
Miao, Jie& Yang, Xu. Solutions to BSDEs Driven by Multidimensional Fractional Brownian Motions. Mathematical Problems in Engineering No. 2015 (2015), pp.1-12.
https://search.emarefa.net/detail/BIM-1073930
American Medical Association (AMA)
Miao, Jie& Yang, Xu. Solutions to BSDEs Driven by Multidimensional Fractional Brownian Motions. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1073930
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1073930