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

被引：33

作者：

Ren, Y. ^{[1
]}

机构：

[1] Univ Tasmania, Sch Math, Hobart, Tas 7001, Australia

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2010年 / 144卷 / 02期

基金：

中国国家自然科学基金; 澳大利亚研究理事会;

关键词：

Backward stochastic Volterra integral equation; Adapted M-solution; Poisson point process; Duality principle; DIFFERENTIAL-EQUATIONS; ADAPTED SOLUTION; LEVY PROCESSES; DRIVEN; PDIES;

D O I：

10.1007/s10957-009-9596-2

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper studies the existence, uniqueness and stability of the adapted solutions to backward stochastic Volterra integral equations (BSVIEs) driven by a cylindrical Brownian motion on a separable Hilbert space and a Poisson random measure with non-Lipschitz coefficient. Moreover, a duality principle between the linear forward stochastic Volterra integral equations (FSVIEs) with jumps and the linear BSVIEs with jumps is established.

引用

页码：319 / 333

页数：15

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