Linear Volterra backward stochastic integral equations

Yaozhong Hu and Bernt Øksendal

Stochastic Processes and their Applications, 2019, vol. 129, issue 2, 626-633

Abstract: We present an explicit solution triplet (Y,Z,K) to the backward stochastic Volterra integral equation (BSVIE) of linear type, driven by a Brownian motion and a compensated Poisson random measure. The process Y is expressed by an integral whose kernel is explicitly given. The processes Z and K are expressed by Hida–Malliavin derivatives involving Y.

Keywords: Brownian motion; Compensated Poisson random measure; Volterra type backward stochastic differential equation; Linear equation; Explicit solution; Hida–Malliavin derivative (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.03.016

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