Publication Cover
Applicable Analysis
An International Journal
Volume 103, 2024 - Issue 4
147
Views
1
CrossRef citations to date
0
Altmetric
Research Article

BSDEs driven by fractional Brownian motion with time-delayed generators

&
Pages 724-733 | Received 11 Nov 2022, Accepted 14 Apr 2023, Published online: 08 May 2023
 

ABSTRACT

This paper deals with a class of backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1/2) with time-delayed generators. In this type of equation, a generator at time t can depend on the values of a solution in the past, weighted with a time-delay function, for instance, of the moving average type. We establish an existence and uniqueness result of solutions for a sufficiently small time horizon or for a sufficiently small Lipschitz constant of a generator. The stochastic integral used throughout the paper is the divergence operator-type integral.

AMS SUBJECT CLASSIFICATIONS:

Acknowledgments

The authors would like to thank the referees for their relevant suggestions, in particular, that of giving an example to illustrate our main result.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 61.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 1,361.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.