Anticipating backward stochastic Volterra integral equations
Probability
2016-06-01 v3
Abstract
We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator involves not only the present values but also the future values of the solutions. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions to these anticipating BSVIEs.
Cite
@article{arxiv.1503.06427,
title = {Anticipating backward stochastic Volterra integral equations},
author = {Jiaqiang Wen and Yufeng Shi},
journal= {arXiv preprint arXiv:1503.06427},
year = {2016}
}
Comments
12 pages