A general non-existence result for linear BSDEs driven by Gaussian processes
Probability
2016-01-20 v2
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 . We show that, for every choice of deterministic coefficient functions, there is a square integrable terminal condition such that the equation has no solution.
Cite
@article{arxiv.1509.02257,
title = {A general non-existence result for linear BSDEs driven by Gaussian processes},
author = {Christian Bender and Lauri Viitasaari},
journal= {arXiv preprint arXiv:1509.02257},
year = {2016}
}