Well-posedness and regularity of backward stochastic Volterra integral equations

    Authors

    J. M. Yong

    Comments

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    Abbreviated Journal Title

    Probab. Theory Relat. Field

    Keywords

    backward stochastic Volterra integral equation; adapted M-solution; Malliavin calculus; optimal control; Pontryagin maximum principle; DIFFERENTIAL-EQUATIONS; MAXIMUM PRINCIPLE; ADAPTED SOLUTION; UTILITY; COHERENT; RISK; Statistics & Probability

    Abstract

    Backward stochastic Volterra integral equations (BSVIEs, for short) are studied. Notion of adapted M-solution is introduced. Well-posedness of BSVIEs is established and some regularity results are proved for the adapted M-solutions via Malliavin calculus. A Pontryagin type maximum principle is presented for optimal controls of stochastic Volterra integral equations.

    Journal Title

    Probability Theory and Related Fields

    Volume

    142

    Issue/Number

    1-2

    Publication Date

    1-1-2008

    Document Type

    Article

    Language

    English

    First Page

    21

    Last Page

    77

    WOS Identifier

    WOS:000256661800002

    ISSN

    0178-8051

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