Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities
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DOI: 10.1007/s10959-013-0509-9
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- Mémin, Jean & Mishura, Yulia & Valkeila, Esko, 2001. "Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 197-206, January.
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- Pardoux, Etienne & Rascanu, Aurel, 1998. "Backward stochastic differential equations with subdifferential operator and related variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 191-215, August.
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Cited by:
- 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).
- Pei Zhang & Adriana Irawati Nur Ibrahim & Nur Anisah Mohamed, 2023. "Anticipated BSDEs Driven by Fractional Brownian Motion with a Time-Delayed Generator," Mathematics, MDPI, vol. 11(23), pages 1-13, December.
- Kyong-Il, Ri & Myong-Guk, Sin, 2024. "Existence and uniqueness of solution for fully coupled fractional forward–backward stochastic differential equations with delay and anticipated term," Statistics & Probability Letters, Elsevier, vol. 206(C).
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Keywords
Backward stochastic differential equation; Fractional Brownian motion; Divergence-type integral; Malliavin calculus; Backward stochastic variational inequality; Subdifferential operator;All these keywords.
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