Abstract
In this article, we deal with fractional stochastic differential equations, so-called Caputo type fractional backward stochastic differential equations (Caputo fBSDEs, for short), and study the well-posedness of an adapted solution to Caputo fBSDEs of order \(\alpha \in (\frac{1}{2},1)\) whose coefficients satisfy a Lipschitz condition. A novelty of the article is that we introduce a new weighted norm in the square integrable measurable function space that is useful for proving a fundamental lemma and its well-posedness. For this class of systems, we then show the coincidence between the notion of stochastic Volterra integral equation and the mild solution.
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Mahmudov, N.I., Ahmadova, A. Some Results on Backward Stochastic Differential Equations of Fractional Order. Qual. Theory Dyn. Syst. 21, 129 (2022). https://doi.org/10.1007/s12346-022-00657-z
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DOI: https://doi.org/10.1007/s12346-022-00657-z