Backward stochastic differential equations with Young drift
Probability
2016-10-13 v1
Abstract
We prove via a direct fixpoint argument the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite -variation with . An application to the Feynman-Kac representation of semilinear rough partial differential equations is given.
Cite
@article{arxiv.1610.03719,
title = {Backward stochastic differential equations with Young drift},
author = {Joscha Diehl and Jianfeng Zhang},
journal= {arXiv preprint arXiv:1610.03719},
year = {2016}
}