Properties of solution of fractional backward stochastic differential equation
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摘要
The backward stochastic differential equations (BSDEs) driven by fractional Brownian motion are studied. As an important tool, the quasi-conditional expectation is used. The general forms of Jensen’s inequality of quasi-conditional expectation are proved. For the linear BSDEs, their solutions are represented by using the quasi-conditional expectation. Moreover, the comparison theorem and comonotonic theorem of the solutions of linear BSDEs are derived.
论文关键词：Backward stochastic differential equation,Fractional Brownian motion,Quasi-conditional expectation,Jensen’s inequality,Comparison theorem,Comonotonic theorem
论文评审过程：Available online 23 December 2013.
论文官网地址：https://doi.org/10.1016/j.amc.2013.11.081
