Backward stochastic Volterra integral equations - a brief survey

    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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