Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion

• Autorzy: Borkowski D. , Jańczak-Borkowska K.

Identyfikatory

DOI

10.7494/OpMath.2018.38.3.307

• Języki publikacji: EN

Abstrakty

EN

We study the existence and uniqueness of the backward stochastic variational inequalities driven by m-dimensional fractional Brownian motion with Hurst parameters Hk (k = 1,... m) greater than 1/2. The stochastic integral used throughout the paper is the divergence type integral.

Słowa kluczowe

EN

backward stochastic differential equation; fractional Brownian motion; backward stochastic variational inequalities; subdifferential operator

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2018
• Tom: Vol. 38, no. 3
• Strony: 307--326
• Opis fizyczny: Bibliogr. 21 poz.

Twórcy

autor

Borkowski D.

• Nicolaus Copernicus University Faculty of Mathematics and Computer Science ul. Chopina 12/18, 87-100 Toruń, Poland

autor

Jańczak-Borkowska K.

• University of Science and Technology Institute of Mathematics and Physics al. prof. S. Kaliskiego 7, 85-796 Bydgoszcz, Poland

Bibliografia

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Uwagi

PL

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).