Backward stochastic Volterra integral equations and some related problems
Abbreviated Journal Title
Stoch. Process. Their Appl.
backward stochastic Volterra integral equation; adapted solutions; duality principle; comparison theorem; Pontryagin maximum principle; DIFFERENTIAL-EQUATIONS; UTILITY; Statistics & Probability
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. (C) 2006 Elsevier B.V. All rights reserved.
Stochastic Processes and Their Applications
"Backward stochastic Volterra integral equations and some related problems" (2006). Faculty Bibliography 2000s. 6742.