Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle

Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle

Abstract We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability of...

Full description

Bibliographic Details
Main Authors: Ludger Overbeck, Jasmin A. L. Röder
Format: Article
Language:English
Published: Springer 2018-06-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Path-dependent backward stochastic Volterra integral equation
Jump diffusion
Path-differentiability
Duality principle
Comparison theorem
Functional Itô formula
Online Access:http://link.springer.com/article/10.1186/s41546-018-0030-2

Internet

http://link.springer.com/article/10.1186/s41546-018-0030-2

Similar Items