On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces

Y. Ren ()
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Y. Ren: University of Tasmania

Journal of Optimization Theory and Applications, 2010, vol. 144, issue 2, No 7, 319-333

Abstract: Abstract This paper studies the existence, uniqueness and stability of the adapted solutions to backward stochastic Volterra integral equations (BSVIEs) driven by a cylindrical Brownian motion on a separable Hilbert space and a Poisson random measure with non-Lipschitz coefficient. Moreover, a duality principle between the linear forward stochastic Volterra integral equations (FSVIEs) with jumps and the linear BSVIEs with jumps is established.

Keywords: Backward stochastic Volterra integral equation; Adapted M-solution; Poisson point process; Duality principle (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-009-9596-2

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