Title

Backward Stochastic Volterra Integral Equations And Some Related Problems

Keywords

Adapted solutions; Backward stochastic Volterra integral equation; Comparison theorem; Duality principle; Pontryagin maximum principle

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. © 2006 Elsevier Ltd. All rights reserved.

Publication Date

5-1-2006

Publication Title

Stochastic Processes and their Applications

Volume

116

Issue

5

Number of Pages

779-795

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.spa.2006.01.005

Socpus ID

33645980965 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/33645980965

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