Comparison theorems for some backward stochastic Volterra integral equations

DOI10.1016/J.SPA.2014.11.013zbMATH Open1310.60102arXiv1208.2064OpenAlexW2053146749MaRDI QIDQ2018558FDOQ2018558

Tianxiao Wang, Jiongmin Yong

Publication date: 24 March 2015

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

Abstract: For backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solutions and adapted M-solutions. For completeness, comparison theorems for (forward) stochastic differential equations, backward stochastic differential equations, and (forward) stochastic Volterra integral equations (FSVIEs) are also presented. Duality principles are used in some relevant proofs. Also, it is found that certain kind of monotonicity conditions play crucial roles to guarantee the comparison theorems for FSVIEs and BSVIEs to be true. Various counterexamples show that the assumed conditions are almost necessary in some sense.

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

zbMATH Keywords

comparison theoremsstochastic differential equationsduality principlebackward stochastic Volterra integral equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic integral equations (60H20)

Cites Work

• Forward-backward stochastic differential equations and their applications
• On the comparison theorem for multidimensional BSDEs
• Title not available (Why is that?)
• Stochastic Differential Utility
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• A comparison theorem for solutions of stochastic differential equations and its applications
• Comparison theorems for stochastic differential equations in finite and infinite dimensions
• On a comparison theorem for solutions of stochastic differential equations and its applications
• Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
• Backward stochastic Volterra integral equations and some related problems
• On the uniqueness of solutions of stochastic differential equations
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Dynamic monetary risk measures for bounded discrete-time processes
• Time-Consistent Portfolio Management
• Golden Eggs and Hyperbolic Discounting
• A Generalized Stochastic Differential Utility
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Consumption and portfolio rules for time-inconsistent investors
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
• On Comparison Theorem and its Applications to Finance
• On the uniqueness of solutions of stochastic differential equations. II
• Erratum: Coherent and convex risk measures for unbounded càdlàg processes
• Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces
• A Comparison Theorem for Stochastic Equations with Integrals with Respect to Martingales and Random Measures
• A new comparison theorem for solutions of stochastic differential equations
• Well-posedness and regularity of backward stochastic Volterra integral equations
• A note on a comparison theorem for equations with different diffusions
• Symmetrical solutions of backward stochastic Volterra integral equations and their applications
• Title not available (Why is that?)
• A comparison theorem for stochastic equations with Volterra drifts
• Comparison of solutions of stochastic equations and applications
• Comparison of stochastic Volterra equations

Cited In (28)

• On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
• Spike Variations for Stochastic Volterra Integral Equations
• Backward stochastic Volterra integral equations with jumps in a general filtration
• Backward stochastic Volterra integral equations on Markov chains
• Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
• Dynamic risk measure for BSVIE with jumps and semimartingale issues
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
• Solvability of anticipated backward stochastic Volterra integral equations
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems
• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
• A class of stochastic Fredholm-algebraic equations and applications in finance
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations
• Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
• Backward stochastic Volterra integral equations -- a brief survey
• Backward doubly stochastic Volterra integral equations and their applications
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions
• Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Optimal control problems of forward-backward stochastic Volterra integral equations

   Recommendations

• A general comparison theorem for backward stochastic differential equations 👍 👎
• A comparison theorem of backward doubly stochastic differential equations 👍 👎
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications 👍 👎
• The comparison theorem for solutions of forward-backward stochastic differential equations 👍 👎
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient 👍 👎
• Backward stochastic Volterra integral equations and some related problems 👍 👎
• A comparison theorem for solutions of backward stochastic differential equations. 👍 👎
• On a class of backward stochastic Volterra integral equations 👍 👎
• A converse comparison theorem for some backward stochastic differential equations 👍 👎

This page was built for publication: Comparison theorems for some backward stochastic Volterra integral equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2018558)