GENERALIZED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY TWO MUTUALLY INDEPENDENT FRACTIONAL BROWNIAN MOTIONS
Keywords:
fractional Brownian motion backward stochastic differential equations, Malliavin derivative and fractional Itô’s formulaDOI:
https://doi.org/10.17654/0974324324032Abstract
This paper deals with a class of generalized backward stochastic differential equations driven by two mutually independent fractional Brownian motions (FGBSDEs in short). The existence and uniqueness of solutions for FGBSDE as well as a comparison theorem are obtained.
Received: June 25, 2024
Revised: August 25, 2024
Accepted: September 14, 2024
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