Comparison theorems for some backward stochastic Volterra integral equations

DOI10.1016/j.spa.2014.11.013zbMath1310.60102arXiv1208.2064MaRDI QIDQ2018558

Tian Xiao Wang, Jiong-min Yong

Publication date: 24 March 2015

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

Full work available at URL: https://arxiv.org/abs/1208.2064

zbMATH Keywords

stochastic differential equations; comparison theorems; duality principle; backward stochastic Volterra integral equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

60H20: Stochastic integral equations

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Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions, Dynamic risk measure for BSVIE with jumps and semimartingale issues, Backward stochastic Volterra integral equations -- a brief survey, Optimal control problems of forward-backward stochastic Volterra integral equations

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