Title of article
Backward stochastic Volterra integral equations and some related problems
Author/Authors
Yong، نويسنده , , Jiongmin Yong، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
17
From page
779
To page
795
Abstract
Backward stochastic Volterra integral equations (BSVIEs, for short) are introduced. The existence and uniqueness of adapted solutions are established. A duality principle between linear BSVIEs and (forward) stochastic Volterra integral equations is obtained. As applications of the duality principle, a comparison theorem is proved for the adapted solutions of BSVIEs, and a Pontryagin type maximum principle is established for an optimal control of stochastic integral equations.
Keywords
Backward stochastic Volterra integral equation , Duality principle , Comparison theorem , Adapted solutions , Pontryagin maximum principle
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577788
Link To Document