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Coutin, L. (2007) An Introduction to (stochastic) Calculus with Respect to Fractional Brownian Motion. In: Donati-Martin, C., Émery, M., Rouault, A. and Stricker, C., Eds., Séminaire de Probabilités XL, Springer, 3-65.
https://doi.org/10.1007/978-3-540-71189-6_1

has been cited by the following article:

• TITLE: Backward Stochastic Differential Equations Driven by Fractional Brownian Motion: Theory and Applications

  AUTHORS: Bou Diop

  KEYWORDS: BSDE, Fractional Brownian Motion, Malliavin Calculus, Optimal Control, Long-Range Dependence

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.13 No.11, November 11, 2025

  ABSTRACT: This article develops the theory of backward stochastic differential equations (BSDEs) governed by a fractional Brownian motion with Hurst parameter H∈( 1/2 ,1 ) . We establish existence, uniqueness, and regularity results for solutions in appropriate Sobolev spaces. In particular, we examine the behavior of solutions depending on the value of the parameter H . We also provide an application to stochastic optimal control through a precise formulation of the maximum principle. Numerical simulations illustrate the dependence of solutions on model parameters.