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1. Existence and uniqueness of M-solutions for backward stochastic Volterra integral equations

Author

Wenxue Li, Ruihua Wu, and Ke Wang

Subjects
Backward stochastic Volterra integral equations, existence, uniqueness, dynamic risk measure, Mathematics, QA1-939
Abstract

In this article, we study general backward stochastic Volterra integral equations (BSVIEs). Combining the contractive-mapping principle, step-by-step iteration method and mathematical induction, we establish the existence and uniqueness theorem of M-solution for the BSVIEs. This theorem could be applied directly to many models, for example, using the result to a kind of financial models provides a new and easy method to discuss the existence of dynamic risk measure.

Published
2014

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