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Linear Backward Stochastic Differential Equations with Gaussian Volterra processes

Abstract : Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaus-sian Volterra processes are given. These processes include the multifractional brownian motion and the mul-tifractional Ornstein-Uhlenbeck process. By an Itô formula, proven in the context of Malliavin calculus, the BSDE is associated to a linear second order partial differential equation with terminal condition whose solution is given by a Feynman-Kac type formula. An application to self-financing trading strategies is discussed.
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https://hal.univ-lorraine.fr/hal-02384407
Contributor : Habiba Knani <>
Submitted on : Thursday, November 28, 2019 - 12:56:23 PM
Last modification on : Friday, November 29, 2019 - 2:31:13 AM
Document(s) archivé(s) le : Saturday, February 29, 2020 - 4:39:11 PM

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H Knani, M Dozzi. Linear Backward Stochastic Differential Equations with Gaussian Volterra processes. 2019. ⟨hal-02384407⟩

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