Symmetrical solutions of backward stochastic Volterra integral equations and their applications (Q986653)

The main object of the paper is the following \textit{backward stochastic Volterra integral equation} (BSVIE for short): \[ Y(t) = \Psi(t) + \int_t^T g(t,s,Y(s),Z(t,s),Z(s,t))ds - \int_t^T Z(t,s) dW(s). \] Such equations were previously considered by \textit{J. Yong} [Probab. Theory Relat. Fields 142, No. 1-2, 21--77 (2008; Zbl 1148.60039)] who introduced the concept of M-solution to such equation and gave conditions under which it is uniquely solvable. In this paper, the authors introduce a notion of symmetrical solutions (S-solutions) for which \(Z(t,s)=Z(s,t)\) for all \(s,t\). They prove existence and uniqueness of such solutions under natural assumptions, and establish some basic properties of it, like continuity. Further, they study relations between S-solutions and M-solutions and show that these are two different notions. Finally, they give a comparison theorem for solutions of BSVIEs, which allows them to define a class of dynamic coherent risk measures as S-solutions of special BSVIEs.