Comparison theorems for some backward stochastic Volterra integral equations

DOI10.1016/J.SPA.2014.11.013MaRDI QIDQ2018558zbMATH OpenOpenAlexFDO

Authors Tianxiao Wang, Jiongmin 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

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)

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.

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Cited in

(29)

• Dynamic risk measure for BSVIE with jumps and semimartingale issues
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