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This paper is devoted to presenting an averaging principle for multidimensional backward stochastic differential equations driven by fractional Brownian motion (MFrBSDEs for short). Under a Lipschitz condition, the solutions to MFrBSDEs can be approximated by solutions to averaged stochastic systems in the mean-square sense and probability. Moreover, our results have significantly generalized some previous work.

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On the Averaging Principle for Multidimensional BSDEs Driven by Fractional Brownian Motion

  • 会议论文

  • 发表日期：

    2026年

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  • Djibril Ndiaye,
  • Yaya Sagna

摘要

This paper is devoted to presenting an averaging principle for multidimensional backward stochastic differential equations driven by fractional Brownian motion (MFrBSDEs for short). Under a Lipschitz condition, the solutions to MFrBSDEs can be approximated by solutions to averaged stochastic systems in the mean-square sense and probability. Moreover, our results have significantly generalized some previous work.