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Backward stochastic Volterra integral equations and some related problems · Study

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ArticleBackward stochastic Volterra integral equations and some related problems

Jiongmin Yong2006

OA

Articlebronze2006

Backward stochastic Volterra integral equations and some related problems

125 citations·0/0 files stored·Stochastic Processes and their Applications

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

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References

2007Brownian Motion and Stochastic Calculus 1983Stochastic Differential Equations and Diffusion Processes 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1992Stochastic Differential Utility 2002Ambiguity, Risk, and Asset Returns in Continuous Time 1989Brownian Motion and Stochastic Calculus.

Cited by

2007Well-posedness and regularity of backward stochastic Volterra integral equations 2015Malliavin Calculus and Optimal Control of Stochastic Volterra Equations 2013Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models 2009Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications 2007Continuous-time dynamic risk measures by backward stochastic Volterra integral equations 2013Mean-field backward stochastic Volterra integral equations

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2006Dynamic Portfolio Choice and Risk Aversionpreprint · 12 shared references 2003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferencesarticle · 11 shared references 2007Well-posedness and regularity of backward stochastic Volterra integral equationsarticle · 10 shared references 2004Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable incomearticle · 9 shared references 2004Nonlinear Expectations, Nonlinear Evaluations and Risk Measureschapter · 8 shared references 2005Linear forward-backward stochastic differential equations with random coefficientsarticle · 8 shared references

Details

Year2006

Typearticle

Published2006-02-10

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations125

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2006.01.005

openalex_workW2019013909

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2009On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces

2019Backward stochastic Volterra integral equations—Representation of adapted solutions