Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion

Abstract

We study the existence and uniqueness of the backward stochastic variational inequalities driven by $m$-dimensional fractional Brownian motion with Hurst parameters $H_k$ ($k=1,\ldots m$) greater than $1/2$. The stochastic integral used throughout the paper is the divergence type integral.