Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures

DOI10.1016/j.jmaa.2024.128089arXiv2310.07319OpenAlexW4390674169MaRDI QIDQ6150634

Bixuan Yang, Tie-Xin Guo, Jin-biao Wu

Publication date: 6 March 2024

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

Full work available at URL: https://arxiv.org/abs/2310.07319

zbMATH Keywords

comparison theoremMalliavin calculusdynamic risk measuremean-field backward doubly stochastic Volterra integral equationregularity of M-solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integrals (60H05) Stochastic integral equations (60H20) Portfolio theory (91G10)

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