A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

DOI10.1214/21-EJP653MaRDI QIDQ2042823zbMATH OpenFDO

Authors Camilo Hernández, Dylan Possamaï

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.12258

zbMATH Keywords

time inconsistencybackward stochastic Volterra integral equationsequilibrium Hamilton-Jacobi-Bellman equationconsistent planningrepresentation of partial differential equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Random integral equations (45R05) Stochastic integral equations (60H20)

Abstract: We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show that it is equivalent to that of a type-I backward stochastic Volterra integral equation. We also establish a representation formula in terms of non-linear semilinear partial differential equation of Hamilton-Jacobi-Bellman type. As an application, we consider the study of time-inconsistent stochastic control from a game-theoretic point of view. We show the equivalence of two current approaches to this problem from both a probabilistic and an analytic point of view.

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• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
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• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

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