Backward stochastic Volterra integral equations with additive perturbations

DOI10.1016/j.amc.2015.05.077zbMath1410.60064OpenAlexW767752551MaRDI QIDQ1664279

Svetlana Janković, Jasmina Djordjević

Publication date: 24 August 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.05.077

zbMATH Keywords

perturbationsbackward stochastic Volterra integral equations\(L^{2}\)-closeness

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Stochastic integral equations (60H20) Random integral equations (45R05)

Related Items (13)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Stochastic differential equations with perturbations driven by \(G\)-Brownian motion ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Global controllability for quasilinear nonnegative definite system of ODEs and SDEs ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ Some analytic approximations for backward stochastic differential equations

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