IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v127y2017i4p1204-1233.html
   My bibliography  Save this article

A general non-existence result for linear BSDEs driven by Gaussian processes

Author

Listed:
  • Bender, Christian
  • Viitasaari, Lauri

Abstract

In this paper, we study linear backward stochastic differential equations driven by a class of centered Gaussian non-martingales, including fractional Brownian motion with Hurst parameter H∈(0,1)∖{12}. We show that, for every choice of deterministic coefficient functions, there is a square integrable terminal condition such that the equation has no solution.

Suggested Citation

  • Bender, Christian & Viitasaari, Lauri, 2017. "A general non-existence result for linear BSDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1204-1233.
  • Handle: RePEc:eee:spapps:v:127:y:2017:i:4:p:1204-1233
    DOI: 10.1016/j.spa.2016.07.012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414916301247
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spa.2016.07.012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. León, Jorge A. & Nualart, David, 2005. "An extension of the divergence operator for Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 481-492, March.
    2. Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Douissi, Soukaina & Wen, Jiaqiang & Shi, Yufeng, 2019. "Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 282-298.
    2. Sin, Myong-Guk & Ri, Kyong-Il & Kim, Kyong-Hui, 2022. "Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 190(C).
    3. Bender, Christian & Knobloch, Robert & Oberacker, Philip, 2015. "A generalised Itō formula for Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2989-3022.
    4. Yu, Xianye & Zhang, Mingbo, 2020. "Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 159(C).
    5. Wen, Jiaqiang & Shi, Yufeng, 2017. "Anticipative backward stochastic differential equations driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 118-127.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:127:y:2017:i:4:p:1204-1233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.