Wen Lv. Backward stochastic Volterra integral equations associated with a Levy process and applications


Natural Sciences / Mathematics / Probability

Submitted on: May 10, 2012, 18:25:08

Description: 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.

The abstract of this article has been published in the "Intellectual Archive Bulletin" , May 2012, ISSN 1929-1329.

The Library and Archives Canada reference page: collectionscanada.gc.ca/ourl/res.php?url_ver=Z39.88......

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Wen_Lv__Volterra_integral_equations.pdf



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