Backward Stochastic Volterra Integral Equations--- Representation of Adapted Solutions
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-...
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Main Authors | , |
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Format | Journal Article |
Language | English |
Published |
10.02.2018
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Subjects | |
Online Access | Get full text |
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Summary: | 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. |
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DOI: | 10.48550/arxiv.1802.03659 |