Symmetrical Solutions of Backward Stochastic Volterra Integral Equations and Their Applications

2009/10/29 by Wang, Tianxiao, Shi, Yufeng
#60H07 #60H20 #91B30 #91B70 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.0910.5580

Abstract

Backward stochastic Volterra integral equations (BSVIEs in short) are studied. We introduce the notion of adapted symmetrical solutions (S-solutions in short), which are different from the M-solutions introduced by Yong [17]. We also give some new results for them. At last a class of dynamic coherent risk measures were derived via certain BSVIEs.

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