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
收藏
页码：251 / 274
页数：24
相关论文
共 50 条
  • [21] Backward stochastic Volterra integral equations——a brief survey
    YONG Jiongmin
    Applied Mathematics:A Journal of Chinese Universities(Series B), 2013, 28 (04) : 383 - 394
  • [22] SOLVABILITY OF GENERAL BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
    Shi, Yufeng
    Wang, Tianxiao
    JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY, 2012, 49 (06) : 1301 - 1321
  • [23] Backward stochastic Volterra integral equations — a brief survey
    Jiong-min Yong
    Applied Mathematics-A Journal of Chinese Universities, 2013, 28 : 383 - 394
  • [24] Existence of solutions of a class of stochastic Volterra integral equations with applications to chemotherapy
    Subramaniam, R
    Balachandran, K
    JOURNAL OF THE AUSTRALIAN MATHEMATICAL SOCIETY SERIES B-APPLIED MATHEMATICS, 1999, 41 : 93 - 104
  • [25] Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures
    Liangliang Miao
    Yanhong Chen
    Xiao Xiao
    Yijun Hu
    Acta Mathematica Scientia, 2023, 43 : 1365 - 1381
  • [26] ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES
    缪亮亮
    陈燕红
    肖肖
    胡亦钧
    Acta Mathematica Scientia, 2023, 43 (03) : 1365 - 1381
  • [27] Anticipated Backward Stochastic Volterra Integral Equations with Jumps and Applications to Dynamic Risk Measures
    Miao, Liangliang
    Chen, Yanhong
    Xiao, Xiao
    Hu, Yijun
    ACTA MATHEMATICA SCIENTIA, 2023, 43 (03) : 1365 - 1381
  • [28] Comparison theorems for some backward stochastic Volterra integral equations
    Wang, Tianxiao
    Yong, Jiongmin
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2015, 125 (05) : 1756 - 1798
  • [29] MEAN-FIELD BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS
    Shi, Yufeng
    Wang, Tianxiao
    Yong, Jiongmin
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2013, 18 (07): : 1929 - 1967
  • [30] Backward stochastic Volterra integral equations with time delayed generators
    Coulibaly, Harouna
    Aman, Auguste
    ASIAN JOURNAL OF CONTROL, 2024, 26 (05) : 2719 - 2731
12345