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.
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页码：21 / 77
页数：57
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