Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [24 references]  Display  Hide  Download

https://hal.univ-lorraine.fr/hal-02384407
Contributor : Habiba Knani <>
Submitted on : Thursday, November 28, 2019 - 12:56:23 PM
Last modification on : Monday, August 24, 2020 - 3:47:59 PM
Long-term archiving on: : Saturday, February 29, 2020 - 4:39:11 PM

File

Knani.Dozzi1.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-02384407, version 1

Collections

Citation

H Knani, M Dozzi. Linear backward stochastic differential equations with gaussian Volterra processes. 2019. ⟨hal-02384407⟩

Share

Metrics

Record views

88

Files downloads

136