## Brazilian Journal of Probability and Statistics

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

### Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

#### 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