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- W2990101110 abstract "Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional brownian motion and the multifractional Ornstein-Uhlenbeck process. By an Ito 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." @default.
- W2990101110 created "2019-12-05" @default.
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- W2990101110 date "2019-11-28" @default.
- W2990101110 modified "2023-09-26" @default.
- W2990101110 title "Linear Backward Stochastic Differential Equations with Gaussian Volterra processes" @default.
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