Linear backward stochastic differential equations with gaussian Volterra processes
Résumé
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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