Fractional backward stochastic differential equations with delayed generator

2022/11/30 by Jiaqiang Wen, Wen, Jiaqiang
Economics, Econometrics and Finance · Engineering · Mathematics · #60G22 #60H10 #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2211.16826

openalex publication_date 2022/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we focus on the solvability of a class of fractional backward stochastic differential equations (BSDEs, for short) with delayed generator. In this class of equations, the generator includes not only the values of the solutions of the present but also the past. Under Lipschitz condition, the existence and uniqueness of such BSDEs are established. A comparison theorem for this class of BSDEs is also obtained.

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