Backward stochastic differential equations with Young drift

作     者：Joscha Diehl Jianfeng Zhang 

作者机构：Max-Planck Institute for Mathematics in the SciencesLeipzigGermany Department of MathematicsUniversity of Southern CaliforniaLos AngelesCaliforniaUSA 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2017年第2卷第1期

页      面：112-128页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：supported by the DAAD P.R.I.M.E.program and NSF grant DMS 1413717 

主　　题：Rough paths theory Young integration BSDE rough PDE 

摘      要：We show the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite q-variation with q∈[1,2).In contrast to previous work,we apply a direct fixpoint argument and do not rely on any type of flow *** resulting object is an effective tool to study semilinear rough partial differential equations via a Feynman–Kac type representation.