Non-lipschitz backward stochastic volterra type equations with jumps

Zhidong Wang; Xicheng Zhang

doi:10.1142/S0219493707002128

Non-lipschitz backward stochastic volterra type equations with jumps

Zhidong Wang^*, Xicheng Zhang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

31 Citations (Scopus)

Abstract

In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.

Original language	English
Pages (from-to)	479-496
Number of pages	18
Journal	Stochastics and Dynamics
Volume	7
Issue number	4
DOIs	https://doi.org/10.1142/S0219493707002128
Publication status	Published - Dec 2007
Externally published	Yes

Keywords

Adapted solution
Backward stochastic Volterra integral equation
Bihari's inequality
Non-Lipschitz

Access to Document

10.1142/S0219493707002128

Cite this

@article{56c35f7f13264173a61ba858633adcc5,

title = "Non-lipschitz backward stochastic volterra type equations with jumps",

abstract = "In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.",

keywords = "Adapted solution, Backward stochastic Volterra integral equation, Bihari's inequality, Non-Lipschitz",

author = "Zhidong Wang and Xicheng Zhang",

year = "2007",

month = dec,

doi = "10.1142/S0219493707002128",

language = "English",

volume = "7",

pages = "479--496",

journal = "Stochastics and Dynamics",

issn = "0219-4937",

publisher = "World Scientific Publishing Co. Pte Ltd",

number = "4",

}

TY - JOUR

T1 - Non-lipschitz backward stochastic volterra type equations with jumps

AU - Wang, Zhidong

AU - Zhang, Xicheng

PY - 2007/12

Y1 - 2007/12

N2 - In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.

AB - In this paper, we prove the existence and uniqueness of solution for the backward stochastic Volterra integral equation with non-Lipschitz coefficients and driven by Brownian motion and jump process. Moreover, when the equation is driven only by Brownian motion, we also study the continuity of the solution with respect to the time.

KW - Adapted solution

KW - Backward stochastic Volterra integral equation

KW - Bihari's inequality

KW - Non-Lipschitz

UR - http://www.scopus.com/inward/record.url?scp=38049125791&partnerID=8YFLogxK

U2 - 10.1142/S0219493707002128

DO - 10.1142/S0219493707002128

M3 - Article

AN - SCOPUS:38049125791

SN - 0219-4937

VL - 7

SP - 479

EP - 496

JO - Stochastics and Dynamics

JF - Stochastics and Dynamics

IS - 4

ER -

Non-lipschitz backward stochastic volterra type equations with jumps

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this