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Anticipative backward stochastic differential equations driven by fractional Brownian motion (1604.01847v3)
Published 7 Apr 2016 in math.PR
Abstract: We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence operator type integral. We obtain the existence and uniqueness of solutions to these equations. A comparison theorem for this type of anticipative BSDEs is also established.
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