Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations

DOI10.1016/J.CAMWA.2019.09.006MaRDI QIDQ2004608zbMATH OpenOpenAlexFDO

Authors Jiaqiang Wen, Yufeng Shi

Publication date 7 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.04292

zbMATH Keywords

backward stochastic integralbackward doubly stochastic Volterra integral equationsymmetrical martingale solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper aims to study a new class of integral equations called backward doubly stochastic Volterra integral equations (BDSVIEs, for short). The notion of symmetrical martingale solutions (SM-solutions, for short) is introduced for BDSVIEs. And the existence and uniqueness theorem for BDSVIEs in the sense of SM-solutions is established.

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Cited in

(4)

• Backward doubly stochastic Volterra integral equations and their applications
• A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
• Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
• Symmetrical solutions of backward stochastic Volterra integral equations and their applications

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