Title

Backward stochastic Volterra integral equations - a brief survey

Authors

Authors

J. M. Yong

Comments

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Abbreviated Journal Title

Appl. Math.-J. Chin. Univ. Ser. B

Keywords

backward stochastic differential equation; backward stochastic Volterra; integral equation; M-solution; comparison theorem; L-P SOLUTIONS; DIFFERENTIAL-EQUATIONS; ADAPTED SOLUTION; COEFFICIENTS; REGULARITY; Mathematics, Applied

Abstract

In this paper, we present a brief survey on the updated theory of backward stochastic Volterra integral equations (BSVIEs, for short). BSVIEs are a natural generalization of backward stochastic differential equations (BSDEs, for short). Some interesting motivations of studying BSVIEs are recalled. With proper solution concepts, it is possible to establish the corresponding well-posedness for BSVIEs. We also survey various comparison theorems for solutions to BSVIEs.

Journal Title

Applied Mathematics-a Journal of Chinese Universities Series B

Volume

28

Issue/Number

4

Publication Date

1-1-2013

Document Type

Article

Language

English

First Page

383

Last Page

394

WOS Identifier

WOS:000328347600001

ISSN

1005-1031

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