Title
Well-Posedness And Regularity Of Backward Stochastic Volterra Integral Equations
Keywords
Adapted M-solution; Backward stochastic Volterra integral equation; Malliavin calculus; Optimal control; Pontryagin maximum principle
Abstract
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. © 2007 Springer-Verlag.
Publication Date
9-1-2008
Publication Title
Probability Theory and Related Fields
Volume
142
Issue
1-2
Number of Pages
21-77
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1007/s00440-007-0098-6
Copyright Status
Unknown
Socpus ID
45149113017 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/45149113017
STARS Citation
Yong, Jiongmin, "Well-Posedness And Regularity Of Backward Stochastic Volterra Integral Equations" (2008). Scopus Export 2000s. 10178.
https://stars.library.ucf.edu/scopus2000/10178