The ?-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs
Joint Authors
Source
Advances in Mathematical Physics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-24
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Let SH be a subfractional Brownian motion with index 0 Based on the ?-transform in white noise analysis we study the stochastic integral with respect to SH, and we also prove a Girsanov theorem and derive an Itô formula. As an application we study the solutions of backward stochastic differential equations driven by SH of the form -dYt=f(t,Yt,Zt)dt-ZtdStH, t∈[0,T],YT=ξ, where the stochastic integral used in the above equation is Pettis integral. We obtain the explicit solutions of this class of equations under suitable assumptions.
American Psychological Association (APA)
Wang, Zhi& Yan, Litan. 2013. The ?-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs. Advances in Mathematical Physics،Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-501299
Modern Language Association (MLA)
Wang, Zhi& Yan, Litan. The ?-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs. Advances in Mathematical Physics No. 2013 (2013), pp.1-11.
https://search.emarefa.net/detail/BIM-501299
American Medical Association (AMA)
Wang, Zhi& Yan, Litan. The ?-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs. Advances in Mathematical Physics. 2013. Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-501299
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-501299