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backward stochastic differential equations driven by both standard and fractional Brownian motions with time deplayed generators
  • Sadibou Aidara,
  • Yaya sagna,
  • Lamine Sylla
Sadibou Aidara
Université Gaston Berger UFR de Sciences Appliquées et de Technologie

Corresponding Author:[email protected]

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Yaya sagna
Universite Gaston Berger UFR de Sciences Appliquees et de Technologie
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Lamine Sylla
Universite Gaston Berger UFR de Sciences Appliquees et de Technologie
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Abstract

This paper deals with a class of backward stochastic differential equations driven by both standard and fractional Brownian motions with time deplayed 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.