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On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces
Citation
Ren, Y, On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces, Journal of Optimization Theory and Applications, 144, (2) pp. 319-333. ISSN 0022-3239 (2010) [Refereed Article]
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Copyright Statement
The original publication is available at www.springerlink.com
DOI: doi:10.1007/s10957-009-9596-2
Abstract
Abstract This paper studies the existence, uniqueness and stability of the adapted
solutions to backward stochastic Volterra integral equations (BSVIEs) driven by a
cylindrical Brownian motion on a separable Hilbert space and a Poisson random measure
with non-Lipschitz coefficient. Moreover, a duality principle between the linear
forward stochastic Volterra integral equations (FSVIEs) with jumps and the linear
BSVIEs with jumps is established.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | Keywords Backward stochastic Volterra integral equation · Adapted M-solution · Poisson point process · Duality principle |
| Research Division: | Mathematical Sciences |
| Research Group: | Statistics |
| Research Field: | Stochastic analysis and modelling |
| Objective Division: | Expanding Knowledge |
| Objective Group: | Expanding knowledge |
| Objective Field: | Expanding knowledge in the mathematical sciences |
| UTAS Author: | Ren, Y (Dr Yong Ren) |
| ID Code: | 64968 |
| Year Published: | 2010 |
| Web of Science® Times Cited: | 20 |
| Deposited By: | Mathematics and Physics |
| Deposited On: | 2010-09-17 |
| Last Modified: | 2011-03-23 |
| Downloads: | 3 View Download Statistics |
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