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
收藏
页码：319 / 333
页数：15
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