Symmetrical solutions of backward stochastic Volterra integral equations and their applications

DOI10.3934/DCDSB.2010.14.251zbMATH Open1203.60093arXiv0910.5580OpenAlexW2963224741MaRDI QIDQ986653FDOQ986653

Authors: Tianxiao Wang, Yufeng Shi 

Publication date: 11 August 2010

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: Backward stochastic Volterra integral equations (BSVIEs in short) are studied. We introduce the notion of adapted symmetrical solutions (S-solutions in short), which are different from the M-solutions introduced by Yong [17]. We also give some new results for them. At last a class of dynamic coherent risk measures were derived via certain BSVIEs.

Full work available at URL: https://arxiv.org/abs/0910.5580

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zbMATH Keywords

backward stochastic Volterra integral equationsadapted symmetrical solutionsdynamic coherent risk measure

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic models in economics (91B70) Stochastic integral equations (60H20)

Cited In (13)

• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• \(L^p\) solutions of backward stochastic Volterra integral equations
• Linear quadratic control problems of stochastic Volterra integral equations
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Comparison theorems for some backward stochastic Volterra integral equations
• SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• A class of time inconsistent risk measures and backward stochastic Volterra integral equations
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations -- a brief survey
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Linear quadratic stochastic integral games and related topics
• Optimal control problems of forward-backward stochastic Volterra integral equations

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