Well-posedness and regularity of backward stochastic Volterra integral equations

DOI10.1007/s00440-007-0098-6zbMath1148.60039OpenAlexW1995644520MaRDI QIDQ948934

Jiong-min Yong

Publication date: 16 October 2008

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-007-0098-6

zbMATH Keywords

optimal controlMalliavin calculusPontryagin maximum principleadapted m-solutionbackward stochastic Volterra integral equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

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