Backward stochastic Volterra integral equations associated with a Levy process and applications
Probability
2016-03-11 v2
Abstract
In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent L\'{e}vy process and an independent Brownian motion (BSVIELs). We prove the existence and uniqueness as well as stability of the adapted M-solutions for those equations. Moreover, a duality principle and then a comparison theorem are established. As an application, we derive a class of dynamic risk measures by means of M-solutions of certain BSVIELs.
Keywords
Cite
@article{arxiv.1106.6129,
title = {Backward stochastic Volterra integral equations associated with a Levy process and applications},
author = {Wen Lu},
journal= {arXiv preprint arXiv:1106.6129},
year = {2016}
}