Fractional backward stochastic variational inequalities with non-Lipschitz coefficient. (English) Zbl 1427.60107

Jańczak-Borkowska, Katarzyna

Braz. J. Probab. Stat. 33, No. 3, 480-497 (2019).

Summary: 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 \(H>1/2\).

MSC:

60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60G22	Fractional processes, including fractional Brownian motion

Keywords:

backward stochastic differential equation; fractional Brownian motion; backward stochastic variational inequalities; subdifferential operator

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