Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations

DOI10.1016/J.CAMWA.2019.09.006zbMATH Open1460.60058arXiv1909.04292OpenAlexW2976829001MaRDI QIDQ2004608FDOQ2004608

Yufeng Shi, Jiaqiang Wen

Publication date: 7 October 2020

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

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.

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)

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Cited In (3)

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

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