BSDEs generated by fractional space-time noise and related SPDEs
نویسندگان
چکیده
This paper is concerned with the backward stochastic differential equations whose generator a weighted fractional Brownian field: Yt=ξ+∫tTYsW(ds,Bs)−∫tTZsdBs, 0≤t≤T, where W (d+1)-parameter field of Hurst parameter H=(H0,H1,⋯,Hd), which provide probabilistic interpretations (Feynman-Kac formulas) for certain linear partial colored space-time noise. Conditions on H and decay rate weight are given to ensure existence uniqueness solution pair. Moreover, explicit expression both components Y Z pair given.
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2023
ISSN: ['1873-5649', '0096-3003']
DOI: https://doi.org/10.1016/j.amc.2023.127979