BDSVIEs are defined and proven well-posed via M-solutions; a comparison theorem yields existence results for continuous coefficients, a duality with FDSVIEs is shown, and a maximum principle is derived for optimal control problems.
Backward Stochastic Volterra Integral Equations--- Representation of Adapted Solutions
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abstract
For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to obtain in general. Inspired by the decoupling idea of forward-backward stochastic differential equations, in this paper, for a class of BSVIEs, a representation of adapted M-solutions is established by means of the so-called representation partial differential equations and (forward) stochastic differential equations. Well-posedness of the representation partial differential equations are also proved in certain sense.
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2019 1verdicts
UNVERDICTED 1representative citing papers
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Backward doubly stochastic Volterra integral equations and applications to optimal control problems
BDSVIEs are defined and proven well-posed via M-solutions; a comparison theorem yields existence results for continuous coefficients, a duality with FDSVIEs is shown, and a maximum principle is derived for optimal control problems.