Adapted solution of a backward stochastic nonlinear Volterra integral equation

Stochastic Analysis and Applications

Volumn 20, Issue 1, 2002, Pages 165-183

  Lin, Jianzhong ^a  

^a SHANGHAI JIAO TONG UNIVERSITY   (China)

Author keywords

Adapted process; Backward stochastic differential equation; Backward stochastic nonlinear Volterra integral equation

Indexed keywords

EID: 0036005444     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120002426     Document Type: Article

References (11)

1. Berger, M.; Mizel, V. Volterra Equations With Itô Integrals - I. J. Integral Eqn. 1980, 2, 187-245.
2. Berger, M.; Mizel, V. Volterra Equations With Itô Integrals - II. J. Integral Eqn. 1980, 2, 319-337.
3. Cox, J.; Ingersoll, J.; Ross, S. An Intemporal General Equilibrium Model of Asset Prices. Econometrica 1985, 53, 353-384.
4. Duffie, D.; Huang, C. Stochastic Production-Exchange Equilibria. Research, Graduate School of Business, Stanford University, 1989; 974.
5. Hu, Y.; Peng, S. Adapted Solution of Backward Stochastic Evolution Equation. Stoch. Anal. Appl. 1991, 9, 445-459.
6. Karatzas, I.; Shreve, S.E. Brownian Motion and Stochastic Calculus; Springer: New York, 1988.
7. Kolodh, A.M. On the Existence of Solutions of Stochastic Volterra Integral Equations. Theory Random Processes 1983, 11, 51-57 (in Russian).
8. Pardoux, E.; Peng, S. Adapted Solution of a Backward Stochastic Differential Equation. Syst. Control Lett. 1990, 14, 55-61.
9. Pardoux, E.; Peng, S. Backward Stochastic Differential Equations and Quasilinear Parabolic Partial Differential Equations. In Lecture Notes in CIS; Springer: New York, 1992; Vol. 176, 200-217.
10. Pardoux, E.; Protter, P. Stochastic Volterra Equations With Anticipating Coefficients. Ann. Probab. 1990, 18 (4), 1635-1655.
11. Protter, P. Volterra Equations Driven by Semimartingales. Ann. Probab. 1985, 13 (2), 519-530.