The 𝒮-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs
Let SH be a subfractional Brownian motion with index 0<H<1. Based on the 𝒮-transform in white noise analysis we study the stochastic integral with respect to SH, and we also prove a Girsanov theorem and derive an Itô formula. As an application we study the solutions of backward stochastic diff...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2013-01-01
|
| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2013/827192 |