Backward stochastic differential equation driven by fractional brownian motion

SIAM Journal on Control and Optimization

Volumn 48, Issue 3, 2009, Pages 1675-1700

  Yaozhong, H U ^a   Peng, Shige ^b  

^a UNIVERSITY OF KANSAS   (United States)

^b SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation; Fractional brownian motion; Quasi Conditional expectation

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; CONDITIONAL EXPECTATION; FIXED POINTS; FRACTIONAL BROWNIAN MOTION; QUASI- CONDITIONAL EXPECTATION;

EQUATIONS OF MOTION; MEASUREMENT THEORY; NONLINEAR EQUATIONS; ROUTERS; STOCHASTIC CONTROL SYSTEMS;

BROWNIAN MOVEMENT;

EID: 67649262302     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/070709451     Document Type: Article

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