Well-posedness and regularity of backward stochastic Volterra integral equations
Abbreviated Journal Title
Probab. Theory Relat. Field
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
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.
Probability Theory and Related Fields
"Well-posedness and regularity of backward stochastic Volterra integral equations" (2008). Faculty Bibliography 2000s. 1182.