Backward stochastic Volterra integral equations and some related problems

Jiongmin Yong

Stochastic Processes and their Applications, 2006, vol. 116, issue 5, 779-795

Abstract: Backward stochastic Volterra integral equations (BSVIEs, for short) are introduced. The existence and uniqueness of adapted solutions are established. A duality principle between linear BSVIEs and (forward) stochastic Volterra integral equations is obtained. As applications of the duality principle, a comparison theorem is proved for the adapted solutions of BSVIEs, and a Pontryagin type maximum principle is established for an optimal control of stochastic integral equations.

Keywords: Backward; stochastic; Volterra; integral; equation; Adapted; solutions; Duality; principle; Comparison; theorem; Pontryagin; maximum; principle (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (12)

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