Backward SDEs driven by Gaussian processes |
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Authors: | Christian Bender |
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Institution: | Saarland University, Department of Mathematics, Postfach 151150, D-66041 Saarbrücken, Germany |
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Abstract: | In this paper we discuss existence and uniqueness results for BSDEs driven by centered Gaussian processes. Compared to the existing literature on Gaussian BSDEs, which mainly treats fractional Brownian motion with Hurst parameter H>1/2, our main contributions are: (i) Our results cover a wide class of Gaussian processes as driving processes including fractional Brownian motion with arbitrary Hurst parameter H∈(0,1); (ii) the assumptions on the generator f are mild and include e.g. the case when f has (super-)quadratic growth in z; (iii) the proofs are based on transferring the problem to an auxiliary BSDE driven by a Brownian motion. |
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Keywords: | 60H10 60G15 60G22 60H05 |
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