Linear Volterra backward stochastic integral equations

DOI10.1016/J.SPA.2018.03.016MaRDI QIDQ1713471zbMATH OpenOpenAlexWikidataFDO

Authors Yaozhong Hu, B. Øksendal

Publication date 25 January 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.00208, http://urn.nb.no/URN:NBN:no-75676

zbMATH Keywords

Brownian motioncompensated Poisson random measureexplicit solutionHida-Malliavin derivativelinear equationVolterra-type backward stochastic differential equation

Mathematics Subject Classification ID

Volterra integral equations (45D05) Random integral equations (45R05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We present an explicit solution triplet $(Y,Z,K)$ to the backward stochastic Volterra integral equation (BSVIE) of linear type, driven by a Brownian motion and a compensated Poisson random measure. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ and $K$ are expressed by Hida-Malliavin derivatives involving $Y$.

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Cites work

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Cited in

(24)

• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• 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
• 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
• Singular control of stochastic Volterra integral equations
• Backward doubly stochastic Volterra integral equations and their applications
• Linear backward stochastic differential equations with Gaussian Volterra processes
• On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
• Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
• scientific article; zbMATH DE number 5556691 (Why is no real title available?)
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
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• Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• Volterra integral equations of the first kind and applications to linear diffusions
• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
• Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators
• 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

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