Assane Ndiaye, Sadibou Aidara, Ahmadou Bamba Sow

Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients

  • Statistics and Probability
  • Analysis
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Abstract This paper deals with a class of backward doubly stochastic differential equations driven by fractional Brownian motion with Hurst parameter H greater than 1 2 {\frac{1}{2}} . We essentially establish the existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients and stochastic integral-Lipschitz coefficients. The stochastic integral used throughout the paper is the divergence-type integral.

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