Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
We study the existence and uniqueness of the backward stochastic variational inequalities driven by \(m\)-dimensional fractional Brownian motion with Hurst parameters \(H_k\) (\(k=1,\ldots m\)) greater than \(1/2\). The stochastic integral used throughout the paper is the divergence type integral.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH Univeristy of Science and Technology Press
2018-01-01
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| Series: | Opuscula Mathematica |
| Subjects: | |
| Online Access: | http://www.opuscula.agh.edu.pl/vol38/3/art/opuscula_math_3814.pdf |