Adapted solution of a backward stochastic nonlinear Volterra integral equation

DOI10.1081/SAP-120002426MaRDI QIDQ4542849zbMATH OpenOpenAlexFDO

Authors Jian Zhong Lin

Publication date 2 December 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120002426

zbMATH Keywords

backward stochastic differential equationstochastic Volterra equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• Adapted solution of a backward semilinear stochastic evolution equation
• Adapted solution of a backward stochastic differential equation
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Stochastic Volterra equations with anticipating coefficients
• Volterra equations driven by semimartingales

Cited in

(67)

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• Backward stochastic differential equations in the plane
• Backward stochastic Volterra integral equations with additive perturbations
• Stochastic Volterra integral equations with a parameter
• Linear Volterra backward stochastic integral equations
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• L^p solutions of backward stochastic Volterra integral equations
• Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Backward stochastic Volterra integral equations -- a brief survey
• Comparison theorems for some backward stochastic Volterra integral equations
• 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
• Small-time solvability of a flow of forward-backward stochastic differential equations
• Some results on backward stochastic differential equations of fractional order
• 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
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Backward doubly stochastic Volterra integral equations and their applications
• On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
• On a class of backward stochastic Volterra integral equations
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Malliavin calculus and optimal control of stochastic Volterra equations
• Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
• Backward stochastic Volterra integral equations under local Lipschitz condition
• Regularity of backward stochastic Volterra integral equations in Hilbert spaces
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
• scientific article; zbMATH DE number 1066322 (Why is no real title available?)
• scientific article; zbMATH DE number 2061186 (Why is no real title available?)
• Differentiability of BSVIEs and dynamic capital allocations
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
• Backward stochastic Volterra integral equations with jumps in a general filtration
• Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• Representation of adapted solutions to backward stochastic Volterra integral equations
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• A stochastic Fubini theorem: BSDE method
• Backward stochastic nonlinear Volterra integral equations with local Lipschitz drift
• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Linear quadratic control problems of stochastic Volterra integral equations
• Adapted solution of a backward stochastic differential equation
• The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Spike Variations for Stochastic Volterra Integral Equations
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• Picard approximation of a singular backward stochastic nonlinear Volterra integral equation
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Backward stochastic Volterra integral equations with time delayed generators
• A general maximum principle for optimal control of stochastic differential delay systems
• Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators
• Backward doubly stochastic integral equations of the Volterra type and some related problems
• Multi-dimensional super-linear backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations with jumps and some related problems
• Quadratic-exponential growth backward stochastic Volterra integral equations with jumps and associated dynamic risk measure
• A deep solver for backward stochastic Volterra integral equations
• Maximum principle for optimal control of neutral stochastic functional differential systems
• Linear quadratic stochastic integral games and related topics
• Well-posedness and regularity of backward stochastic Volterra integral equations
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces

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