Backward stochastic Volterra integral equations-Representation of adapted solutions

[摘要] For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to obtain in general. Inspired by the decoupling idea of forward backward stochastic differential equations, in this paper, for a class of BSVIEs, a representation of adapted M-solutions is established by means of the so-called representation partial differential equations and (forward) stochastic differential equations. Well-posedness of the representation partial differential equations are also proved in certain sense. (C) 2019 Elsevier B.V. All rights reserved.

[发布日期] 2019-12-01

[关键词] Backward stochastic Volterra integral equations;Adapted solutions;Representation partial differential equations;Representation of adapted solutions