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The -Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs

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  • Zhi Wang
  • Litan Yan

Abstract

Let be a subfractional Brownian motion with index . Based on the -transform in white noise analysis we study the stochastic integral with respect to , and we also prove a Girsanov theorem and derive an Itô formula. As an application we study the solutions of backward stochastic differential equations driven by of the form , where the stochastic integral used in the above equation is Pettis integral. We obtain the explicit solutions of this class of equations under suitable assumptions.

Suggested Citation

  • Zhi Wang & Litan Yan, 2013. "The -Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs," Advances in Mathematical Physics, Hindawi, vol. 2013, pages 1-11, June.
    • Handle: RePEc:hin:jnlamp:827192
    DOI: 10.1155/2013/827192
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