Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion

Authors :: Dariusz Borkowski
Katarzyna Jańczak-Borkowska
Source :: Opuscula Mathematica, Vol 38, Iss 3, Pp 307-326 (2018)
Publication Year :: 2018
Publisher :: AGH Univeristy of Science and Technology Press, 2018.
Abstract: We study the existence and uniqueness of the backward stochastic variational inequalities driven by \(m\)-dimensional fractional Brownian motion with Hurst parameters \(H_k\) (\(k=1,\ldots m\)) greater than \(1/2\). The stochastic integral used throughout the paper is the divergence type integral.

Subjects :: Fractional Brownian motion
General Mathematics
lcsh:T57-57.97
Mathematical analysis
fractional Brownian motion
backward stochastic differential equation
Type (model theory)
backward stochastic variational inequalities
Stochastic integral
Variational inequality
lcsh:Applied mathematics. Quantitative methods
subdifferential operator
Uniqueness
Divergence (statistics)
Mathematics

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