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 Library of Congress (USA) reference page : http://lccn.loc.gov/cn2013300046.

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