NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS

DOI10.1142/S0219493707002128zbMath1203.60094MaRDI QIDQ3502915

Xicheng Zhang, Zhidong Wang

Publication date: 20 May 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

adapted solution; Bihari's inequality; non-Lipschitz; backward stochastic Volterra integral equation

Mathematics Subject Classification ID

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

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H20: Stochastic integral equations

Related Items

Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions, Dynamic risk measure for BSVIE with jumps and semimartingale issues, A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations, Linear quadratic stochastic integral games and related topics, On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces, Backward stochastic Volterra integral equations with additive perturbations, \(L^p\) solutions of backward stochastic Volterra integral equations, Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations, Comparison theorems for some backward stochastic Volterra integral equations, Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle, On a class of backward stochastic Volterra integral equations, Optimal control problems of forward-backward stochastic Volterra integral equations

Cites Work

• Volterra equations driven by semimartingales
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with oblique reflection and local Lipschitz drift
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Stochastic Volterra equations with anticipating coefficients
• Backward stochastic differential equations with locally Lipschitz coefficient
• Backward stochastic differential equations and integral-partial differential equations
• NON-LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER BROWNIAN MOTIONS
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Adapted solution of a backward stochastic nonlinear Volterra integral equation