Well-posedness and regularity of backward stochastic Volterra integral equations

被引：68

作者：

Yong, Jiongmin ^{[1
]}

机构：

[1] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2008年 / 142卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

backward stochastic Volterra integral equation; adapted M-solution; Malliavin calculus; optimal control; Pontryagin maximum principle;

D O I：

10.1007/s00440-007-0098-6

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：

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.

引用

页码：21 / 77

页数：57

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