Title

Well-posedness and regularity of backward stochastic Volterra integral equations

Authors

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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