BSVIEs with stochastic Lipschitz coefficients and applications in finance
Probability
2010-01-21 v1
Abstract
This paper is concerned with existence and uniqueness of M-solutions of backward stochastic Volterra integral equations (BSVIEs for short), which Lipschitz coefficients are allowed to be random, which generalize the results in [15]. Then a class of continuous time dynamic dynamic coherent risk measures is derived, allowing the riskless interest rate to be random, which is different from the case in [15].
Keywords
Cite
@article{arxiv.1001.3558,
title = {BSVIEs with stochastic Lipschitz coefficients and applications in finance},
author = {Tianxiao Wang},
journal= {arXiv preprint arXiv:1001.3558},
year = {2010}
}