Brazilian Journal of Probability and Statistics

Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

Katarzyna Jańczak-Borkowska

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Abstract

We prove the existence and uniqueness of the solution of backward stochastic variational inequalities with respect to fractional Brownian motion and with non-Lipschitz coefficient. We assume that $H>1/2$.

Article information

Source
Braz. J. Probab. Stat., Volume 33, Number 3 (2019), 480-497.

Dates
Received: September 2017
Accepted: March 2018
First available in Project Euclid: 10 June 2019

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1560153848

Digital Object Identifier
doi:10.1214/18-BJPS398

Mathematical Reviews number (MathSciNet)
MR3960272

Zentralblatt MATH identifier
07094813

Keywords
Backward stochastic differential equation fractional Brownian motion backward stochastic variational inequalities subdifferential operator

Citation

Jańczak-Borkowska, Katarzyna. Fractional backward stochastic variational inequalities with non-Lipschitz coefficient. Braz. J. Probab. Stat. 33 (2019), no. 3, 480--497. doi:10.1214/18-BJPS398. https://projecteuclid.org/euclid.bjps/1560153848


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