Backward stochastic Volterra integral equations and some related problems

    Authors

    J. M. Yong

    Comments

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    Abbreviated Journal Title

    Stoch. Process. Their Appl.

    Keywords

    backward stochastic Volterra integral equation; adapted solutions; duality principle; comparison theorem; Pontryagin maximum principle; DIFFERENTIAL-EQUATIONS; UTILITY; Statistics & Probability

    Abstract

    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.

    Journal Title

    Stochastic Processes and Their Applications

    Volume

    116

    Issue/Number

    5

    Publication Date

    1-1-2006

    Document Type

    Article

    Language

    English

    First Page

    779

    Last Page

    795

    WOS Identifier

    WOS:000237125900004

    ISSN

    0304-4149

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