Backward stochastic Volterra integral equations -- a brief survey

DOI10.1007/s11766-013-3189-4zbMath1299.60080OpenAlexW2157357727MaRDI QIDQ2016921

Jiong-min Yong

Publication date: 30 June 2014

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-013-3189-4

zbMATH Keywords

comparison theorembackward stochastic differential equationbackward stochastic Volterra integral equationM-solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic integral equations (60H20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (9)

Backward stochastic Volterra integral equations with additive perturbations ⋮ Backward stochastic Volterra integral equations on Markov chains ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ Linear Volterra backward stochastic integral equations ⋮ Dynamic risk measure for BSVIE with jumps and semimartingale issues ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration

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