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Solvability of anticipated backward stochastic Volterra integral equations

Authors :
Yufeng Shi
Jiaqiang Wen
Source :
Statistics & Probability Letters. 156:108599
Publication Year :
2020
Publisher :
Elsevier BV, 2020.

Abstract

In this paper, we focus on a new class of equations called the anticipated backward stochastic Volterra integral equations (ABSVIEs, for short). In this class of equations, the generator involves not only the present information of the solution but also its future one. Under the Lipschitz condition, we obtain the existence and uniqueness of the adapted M-solutions. Meanwhile, a comparison theorem is also proved.

Details

ISSN :
01677152
Volume :
156
Database :
OpenAIRE
Journal :
Statistics & Probability Letters
Accession number :
edsair.doi...........6ead907ddb7f641d44236aacc9f2574b
Full Text :
https://doi.org/10.1016/j.spl.2019.108599