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Solvability of anticipated backward stochastic Volterra integral equations

  • Published:2020-01 Issue: Volume:156 Page:108599
  • ISSN:0167-7152
  • Container-title:Statistics & Probability Letters
  • language:en
  • Short-container-title:Statistics & Probability Letters

Author:

Wen JiaqiangORCID,Shi YufengORCID

Funder

National Key R&D Program of China

National Natural Science Foundation of China

Foundation for Innovative Research Groups of National Natural Science Foundation of China

111 Project, China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference26 articles.

1. Malliavin calculus and optimal control of stochastic Volterra equations;Agram;J. Optim. Theory Appl.,2015

2. Maximum principle for the stochastic optimal control problem with delay and application;Chen;Automatica,2010

3. On a class of backward stochastic Volterra integral equations;Djordjević;Appl. Math. Lett.,2013

4. Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem;Douissi;Appl. Math. Comput.,2019

5. Backward stochastic differential equations in finance;El Karoui;Math. Finance,1997

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