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Pré-Publication, Document De Travail Année : 2019

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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Dates et versions

hal-02384407 , version 1 (28-11-2019)
hal-02384407 , version 2 (20-07-2021)

Identifiants

  • HAL Id : hal-02384407 , version 1

Citer

H Knani, M Dozzi. Linear backward stochastic differential equations with gaussian Volterra processes. 2019. ⟨hal-02384407v1⟩
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