Linear Volterra backward stochastic integral equations

DOI10.1016/j.spa.2018.03.016zbMath1405.60074arXiv1708.00208OpenAlexW2795296448MaRDI QIDQ1713471

Bernt Øksendal, Yaozhong Hu

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

zbMATH Keywords

Brownian motionexplicit solutionlinear equationcompensated Poisson random measureHida-Malliavin derivativeVolterra-type backward stochastic differential equation

Mathematics Subject Classification ID

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

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Cites Work

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• The Malliavin Calculus and Related Topics
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