Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces

DOI10.1080/07362994.2011.532046zbMath1223.60046OpenAlexW2071718518MaRDI QIDQ3081443

Wilfried Grecksch, V. V. Anh, Jiong-min Yong

Publication date: 8 March 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.532046

zbMATH Keywords

stochastic optimal controlPontryagin maximum principlestochastic Volterra integral equationsregularity of adapted solutions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Related Items (12)

Backward doubly stochastic Volterra integral equations and their applications ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Backward stochastic Volterra integral equations -- a brief survey ⋮ Comparison theorems for some backward stochastic Volterra integral equations ⋮ 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 ⋮ Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

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