pith. sign in

arxiv: 1802.03659 · v1 · pith:7RZR6CT7new · submitted 2018-02-10 · 🧮 math.PR

Backward Stochastic Volterra Integral Equations--- Representation of Adapted Solutions

classification 🧮 math.PR
keywords equationsadapteddifferentialrepresentationstochasticsolutionsbackwardbsvies
0
0 comments X
read the original 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.

Forward citations

Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score.

  1. Backward doubly stochastic Volterra integral equations and applications to optimal control problems

    math.PR 2019-06 unverdicted novelty 7.0

    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 con...