Backward Doubly Stochastic Integral Equations of the Volterra Type

2009/09/20 by Jean Marc Owo, Owo, Jean Marc
Economics, Econometrics and Finance · Mathematics · #Differential Equations and Numerical Methods #Nonlinear Differential Equations Analysis #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.0909.3614

arxiv created 2011/08/14 · arxiv updated 2011/08/16

Abstract

In this paper, we study backward doubly stochastic integral equations of the Volterra type (BDSIEVs in short). Under uniform Lipschitz assumptions, we establish an existence and uniqueness result.

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