Anticipating backward stochastic Volterra integral equations

2015/03/22 by Jiaqiang Wen, Wen, Jiaqiang, Yufeng Shi +1
Economics, Econometrics and Finance · Mathematics · #60H10 #60H20 #FOS: Mathematics #Fractional Differential Equations Solutions #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1503.06427

openalex publication_date 2015/03/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator involves not only the present values but also the future values of the solutions. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions to these anticipating BSVIEs.

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