Title

Backward stochastic Volterra integral equations and some related problems

Authors

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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