SYMMETRICAL SOLUTIONS OF BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS AND THEIR APPLICATIONS

被引：12

作者：

Wang, Tianxiao ^{[1
]}

Shi, Yufeng ^{[1
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2010年 / 14卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Backward stochastic Volterra integral equations; Adapted symmetrical solutions; Dynamic coherent risk measure; DIFFERENTIAL-EQUATIONS; ADAPTED SOLUTION;

D O I：

10.3934/dcdsb.2010.14.251

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Backward stochastic Volterra integral equations (BSVIEs in short) are studied. We introduce the notion of adapted symmetrical solutions (S-solutions in short), which are different from the M-solutions introduced by Yong [16]. We also give some new results for them. At last a class of dynamic coherent risk measures were derived via certain BSVIEs.

引用

页码：251 / 274

页数：24

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