Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces
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Publication:3081443
DOI10.1080/07362994.2011.532046zbMath1223.60046OpenAlexW2071718518MaRDI QIDQ3081443
Wilfried Grecksch, V. V. Anh, Jiong-min Yong
Publication date: 8 March 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2011.532046
stochastic optimal controlPontryagin maximum principlestochastic Volterra integral equationsregularity of adapted solutions
Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)
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Backward doubly stochastic Volterra integral equations and their applications ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Backward stochastic Volterra integral equations -- a brief survey ⋮ Comparison theorems for some backward stochastic Volterra integral equations ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ 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
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