Mean-field backward stochastic Volterra integral equations
From MaRDI portal
Publication:379033
DOI10.3934/DCDSB.2013.18.1929zbMath1277.60111arXiv1104.4725OpenAlexW2963997268MaRDI QIDQ379033
Jiong-min Yong, Tian Xiao Wang, Yu-feng Shi
Publication date: 12 November 2013
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.4725
maximum principleduality principlemean-field backward stochastic Volterra integral equationmean-field stochastic Volterra integral equation
Related Items (23)
Malliavin method for optimal investment in financial markets with memory ⋮ Harnack inequality for mean-field stochastic differential equations ⋮ Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Backward doubly stochastic Volterra integral equations and their applications ⋮ Mean-field backward doubly stochastic Volterra integral equations and their applications ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Mean-field backward stochastic differential equations with subdifferential operator and its applications ⋮ Linear quadratic stochastic integral games and related topics ⋮ Linear quadratic control problems of stochastic Volterra integral equations ⋮ An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints ⋮ Exact controllability of linear stochastic differential equations and related problems ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Mean-field reflected backward stochastic differential equations ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems ⋮ Optimal control problems of forward-backward stochastic Volterra integral equations ⋮ Malliavin calculus and optimal control of stochastic Volterra equations
This page was built for publication: Mean-field backward stochastic Volterra integral equations