On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces

DOI10.1007/s10957-009-9596-2zbMath1193.60084OpenAlexW2049921761MaRDI QIDQ963654

Yong Ren

Publication date: 13 April 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9596-2

zbMATH Keywords

Poisson point processduality principlebackward stochastic Volterra integral equationadapted M-solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items

A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations ⋮ Backward stochastic Volterra integral equations with additive perturbations ⋮ Backward stochastic Volterra integral equations on Markov chains ⋮ New approach to optimal control of stochastic Volterra integral equations ⋮ 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 ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ \(L^p\) solutions of backward stochastic Volterra integral equations ⋮ Linear quadratic stochastic integral games and related topics ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ Dynamic risk measure for BSVIE with jumps and semimartingale issues ⋮ 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 ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ On a class of backward stochastic Volterra integral equations ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Well-posedness and regularity of backward stochastic Volterra integral equations
• Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Backward stochastic Volterra integral equations and some related problems
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic nonlinear Volterra integral equation
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item