Linear backward stochastic differential equations with Gaussian Volterra processes
Open Access
- 3 December 2020
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 7 (4), 415-433
- https://doi.org/10.15559/20-vmsta166
Abstract
Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Linear backward stochastic differential equations with Gaussian Volterra processes, Authors: Habiba Knani, Marco Dozzi , Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional Brownian motion and the multifractional Ornstein-Uhlenbeck process. By an Itô formula, proven in the context of Malliavin calculus, the BSDE is associated to a linear second order partial differential equation with terminal condition whose solution is given by a Feynman-Kac type formula.Keywords
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