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Explicit solutions of a class of linear fractional BSDEs. (English) Zbl 1129.60313
Summary: We obtain explicit solutions for a class of linear backward stochastic differential equations driven by a fractional Brownian motion with arbitrary Hurst parameter via the solution of a partial differential equation and a fractional Itô formula.

60H10Stochastic ordinary differential equations
26A33Fractional derivatives and integrals (real functions)
35R60PDEs with randomness, stochastic PDE
Full Text: DOI
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