eCite Digital Repository

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]


Preview
PDF
Not available
369Kb
  

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
Author:Ren, Y (Dr Yong Ren)
ID Code:64968
Year Published:2010
Web of Science® Times Cited:11
Deposited By:Mathematics and Physics
Deposited On:2010-09-17
Last Modified:2011-03-23
Downloads:3 View Download Statistics

Repository Staff Only: item control page