Zhang, Pei and Ibrahim, Adriana Irawati Nur and Mohamed, Nur Anisah (2023) Anticipated BSDEs driven by fractional Brownian motion with a time-delayed generator. Mathematics, 11 (23). ISSN 2227-7390, DOI https://doi.org/10.3390/math11234845.
Full text not available from this repository.Abstract
This article describes a new form of an anticipated backward stochastic differential equation (BSDE) with a time-delayed generator driven by fractional Brownian motion, further known as fractional BSDE, with a Hurst parameter H is an element of(1/2,1). This study expands upon the findings of the anticipated BSDE by considering the scenario when the driver is fractional Brownian motion rather instead of standard Brownian motion. Additionally, the generator incorporates not only the present and future but also the past. We will demonstrate the existence and uniqueness of the solutions to these equations by employing the fixed point theorem. Furthermore, an equivalent comparison theorem is derived.
| Item Type: | Article |
|---|---|
| Funders: | Scientific research projects in Anhui universities |
| Uncontrolled Keywords: | Anticipated; BSDE; Fractional Brownian motion; Delayed generator; Comparison theorem |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Science > Institute of Mathematical Sciences |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 20 Oct 2025 14:04 |
| Last Modified: | 20 Oct 2025 14:04 |
| URI: | http://eprints.um.edu.my/id/eprint/48080 |
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