Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

被引：1

作者：

Janczak-Borkowska, Katarzyna ^{[1
]}

机构：

[1] Univ Technol & Life Sci, Inst Math & Phys, PL-85796 Bydgoszcz, Poland

来源：

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2019年 / 33卷 / 03期

关键词：

Backward stochastic differential equation; fractional Brownian motion; backward stochastic variational inequalities; subdifferential operator; DIFFERENTIAL-EQUATIONS; DRIVEN;

D O I：

10.1214/18-BJPS398

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove the existence and uniqueness of the solution of backward stochastic variational inequalities with respect to fractional Brownian motion and with non-Lipschitz coefficient. We assume that H > 1/2.

引用

页码：480 / 497

页数：18

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