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Well-posedness and regularity of backward stochastic Volterra integral equations · Study

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ArticleWell-posedness and regularity of backward stochastic Volterra integral equations

Jiongmin Yong2007

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Articlebronze2007

Well-posedness and regularity of backward stochastic Volterra integral equations

107 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

1999Coherent Measures of Risk 2007Brownian Motion and Stochastic Calculus 1997Golden Eggs and Hyperbolic Discounting 1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 1990Adapted solution of a backward stochastic differential equation 2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance

Cited by

2007Continuous-time dynamic risk measures by backward stochastic Volterra integral equations 2013Mean-field backward stochastic Volterra integral equations 2017Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions 2009On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces 2019Backward stochastic Volterra integral equations—Representation of adapted solutions 2014Comparison theorems for some backward stochastic Volterra integral equations

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Year2007

Typearticle

Published2007-08-07

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations107

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00440-007-0098-6

openalex_workW1995644520

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2015Optimal control problems of forward-backward stochastic Volterra integral equations

2019Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations