Backward stochastic Volterra integral equations—Representation of adapted solutions

Tianxiao Wang and Jiongmin Yong

Stochastic Processes and their Applications, 2019, vol. 129, issue 12, 4926-4964

Abstract: For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to obtain in general. Inspired by the decoupling idea of forward–backward stochastic differential equations, in this paper, for a class of BSVIEs, a representation of adapted M-solutions is established by means of the so-called representation partial differential equations and (forward) stochastic differential equations. Well-posedness of the representation partial differential equations are also proved in certain sense.

Keywords: Backward stochastic Volterra integral equations; Adapted solutions; Representation partial differential equations; Representation of adapted solutions. (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2018.12.016

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