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Deplay BSDEs driven by fractional Brownian motion

Sadibou Aidara and Ibrahima Sane


This paper deals with a class of deplay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 ). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients and non-Lipschitz coefficients. The stochastic integral used throughout this paper is the divergence-type integral.

Communicated by Stanislav Molchanov


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Received: 2020-12-10
Accepted: 2021-08-15
Published Online: 2022-01-06
Published in Print: 2022-03-01

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