Symmetrical Solutions of Backward Stochastic Volterra Integral Equations and Their Applications
Probability
2010-05-31 v2
Abstract
Backward stochastic Volterra integral equations (BSVIEs in short) are studied. We introduce the notion of adapted symmetrical solutions (S-solutions in short), which are different from the M-solutions introduced by Yong [17]. We also give some new results for them. At last a class of dynamic coherent risk measures were derived via certain BSVIEs.
Keywords
Cite
@article{arxiv.0910.5580,
title = {Symmetrical Solutions of Backward Stochastic Volterra Integral Equations and Their Applications},
author = {Tianxiao Wang and Yufeng Shi},
journal= {arXiv preprint arXiv:0910.5580},
year = {2010}
}
Comments
28 pages