Symmetrical solutions of backward stochastic Volterra integral equations and their applications

DOI10.3934/DCDSB.2010.14.251MaRDI QIDQ986653zbMATH OpenOpenAlexFDO

Authors Tianxiao Wang, Yufeng Shi

Publication date 11 August 2010

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

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

zbMATH Keywords

adapted symmetrical solutionsbackward stochastic Volterra integral equationsdynamic coherent risk measure

Mathematics Subject Classification ID

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

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.

Review text

The main object of the paper is the following \textit{backward stochastic Volterra integral equation} (BSVIE for short): \[ Y(t) = \Psi(t) + \int_t^T g(t,s,Y(s),Z(t,s),Z(s,t))ds - \int_t^T Z(t,s) dW(s). \] Such equations were previously considered by \textit{J. Yong} [Probab. Theory Relat. Fields 142, No. 1-2, 21--77 (2008; Zbl 1148.60039)] who introduced the concept of M-solution to such equation and gave conditions under which it is uniquely solvable. In this paper, the authors introduce a notion of symmetrical solutions (S-solutions) for which \(Z(t,s)=Z(s,t)\) for all \(s,t\). They prove existence and uniqueness of such solutions under natural assumptions, and establish some basic properties of it, like continuity. Further, they study relations between S-solutions and M-solutions and show that these are two different notions. Finally, they give a comparison theorem for solutions of BSVIEs, which allows them to define a class of dynamic coherent risk measures as S-solutions of special BSVIEs.

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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
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Backward stochastic Volterra integral equations -- a brief survey
• Comparison theorems for some backward stochastic Volterra integral equations
• 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
• Optimal control problems of forward-backward stochastic Volterra integral equations
• SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
• A class of time inconsistent risk measures and backward stochastic Volterra integral equations
• Linear quadratic control problems of stochastic Volterra integral equations
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Linear quadratic stochastic integral games and related topics

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