Backward stochastic Volterra integral equations and some related problems (Q2495382)

An analysis related to backward stochastic Volterra integral equations (BSVIEs, for short) is presented. The authors study well-posedness, existence and uniqueness of its adapted, \(L^2\)-regular solutions. A duality principle between linear BSVIEs and (forward) stochastic Volterra integral equations is obtained for further applications. As applications, a comparison theorem is proved for the adapted solutions of BSVIEs, and a Pontryagin type maximum principle is established for an optimal control related to one-dimensional stochastic integral equations of this type.