Non-Lipschitz backward stochastic volterra type equations with jumps

被引：30
|
作者：
Wang, Zhidong [1 ]
Zhang, Xicheng [1 ,2 ]
机构：
[1] Huazhong Univ Sci & Technol, Dept Math, Wuhan 430074, Peoples R China
[2] Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany
来源：
STOCHASTICS AND DYNAMICS | 2007年 / 7卷 / 04期
关键词：
backward stochastic Volterra integral equation; non-Lipschitz; adapted solution; Bihari's inequality;
D O I：
10.1142/S0219493707002128
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.
引用
收藏
页码：479 / 496
页数：18
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