SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

DOI10.4134/JKMS.2012.49.6.1301MaRDI QIDQ4917345zbMATH OpenOpenAlexFDO

Authors Yufeng Shi, Tianxiao Wang

Publication date 29 April 2013

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.3557, http://mathnet.or.kr/mathnet/kms_content.php?no=410322

zbMATH Keywords

adapted M-solutionsadapted solutionsbackward stochastic Volterra integral equationsnon-Lipschitz conditionsstochastic Lipschitz coefficients

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: In this paper we study the unique solvability of backward stochastic Volterra integral equations (BSVIEs in short), in terms of both the M-solutions introduced in [17] and the adapted solutions in [6], [12] or [14]. A general existence and uniqueness of M-solutions is proved under non-Lipschitz conditions by virtue of a briefer argument than the one in [17], which also extends the results in [17]. For the adapted solutions, the unique solvability of BSVIEs, under more general stochastic non-Lipschitz conditions, is obtained which generalizes the results in [6], [12] and [14].

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Cited in

(28)

• Backward stochastic Volterra integral equations with additive perturbations
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• L^p solutions of backward stochastic Volterra integral equations
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Backward stochastic Volterra integral equations -- a brief survey
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Small-time solvability of a flow of forward-backward stochastic differential equations
• Some results on backward stochastic differential equations of fractional order
• Backward doubly stochastic Volterra integral equations and their applications
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Solvability of anticipated backward stochastic Volterra integral equations
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Discretization of backward stochastic Volterra integral equations
• Existence and uniqueness of M-solutions for backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations under local Lipschitz condition
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Representation of adapted solutions to backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations on Markov chains
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Backward stochastic nonlinear Volterra integral equations with local Lipschitz drift
• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Backward stochastic Volterra integral equations with general martingales
• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Picard approximation of a singular backward stochastic nonlinear Volterra integral equation
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Multi-dimensional super-linear backward stochastic Volterra integral equations

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