Well-posedness and regularity of backward stochastic Volterra integral equations

• 成果类型: Article
• 署名作者: Yong, Jiongmin
• 署名单位: State University System of Florida; University of Central Florida
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-007-0098-6
• 发表日期: 2008
• 页码: 21-77
• 关键词: differential-equations; MAXIMUM PRINCIPLE; adapted solution; coherent

摘要

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.