A general non-existence result for linear BSDEs driven by Gaussian processes

Christian Bender; Lauri Viitasaari

doi:10.1016/j.spa.2016.07.012

A general non-existence result for linear BSDEs driven by Gaussian processes

Christian Bender, Lauri Viitasaari^*

^*Corresponding author for this work

Department of Mathematics and Systems Analysis

Research output: Contribution to journal › Article › Scientific › peer-review

1 Citation (Scopus)

Abstract

In this paper, we study linear backward stochastic differential equations driven by a class of centered Gaussian non-martingales, including fractional Brownian motion with Hurst parameter . H∈(0,1)(set minus)(12). We show that, for every choice of deterministic coefficient functions, there is a square integrable terminal condition such that the equation has no solution.

Original language	English
Pages (from-to)	1204-1233
Number of pages	30
Journal	Stochastic Processes and their Applications
Volume	127
Issue number	4
DOIs	https://doi.org/10.1016/j.spa.2016.07.012
Publication status	Published - 1 Apr 2017
MoE publication type	A1 Journal article-refereed

Keywords

60G15
60H07
60H10
BSDEs
Gaussian processes
Skorokhod integration

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10.1016/j.spa.2016.07.012

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KW - Skorokhod integration

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A general non-existence result for linear BSDEs driven by Gaussian processes

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Keywords

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