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Backward stochastic differential equations with Young drift

Published 12 Oct 2016 in math.PR | (1610.03719v1)

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 $p$-variation with $p \in [1,2)$. An application to the Feynman-Kac representation of semilinear rough partial differential equations is given.

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