Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
Copyright policy )Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
Summary: 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.
T57-57.97, Applied mathematics. Quantitative methods, Stochastic integrals, Stochastic calculus of variations and the Malliavin calculus, fractional Brownian motion, subdifferential operator, Fractional processes, including fractional Brownian motion, backward stochastic differential equation, backward stochastic variational inequalities
T57-57.97, Applied mathematics. Quantitative methods, Stochastic integrals, Stochastic calculus of variations and the Malliavin calculus, fractional Brownian motion, subdifferential operator, Fractional processes, including fractional Brownian motion, backward stochastic differential equation, backward stochastic variational inequalities
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