GENERALIZED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY TWO MUTUALLY INDEPENDENT FRACTIONAL BROWNIAN MOTIONS

Yaya SAGNA; Lamine SYLLA; Sadibou AIDARA

Yaya SAGNA Université Cheikh Anta DIOP, Dakar, Senegal
Lamine SYLLA Université Gaston Berger, Saint-Louis, BP234, Senegal
Sadibou AIDARA Université Gaston Berger, Saint-Louis, BP234, Senegal

Article ID: 2454

Keywords: fractional Brownian motion backward stochastic differential equations, Malliavin derivative and fractional Itô’s formula

Abstract

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.

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