Some Results on Backward Stochastic Differential Equations of Fractional Order

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.