Anticipating backward stochastic Volterra integral equations

Jiaqiang Wen; Yufeng Shi

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arXiv · 1503.06427

Anticipating backward stochastic Volterra integral equations

Jiaqiang Wen·Yufeng Shi

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Abstract

We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator involves not only the present values but also the future values of the solutions. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions to these anticipating BSVIEs.

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Jiaqiang Wen, Yufeng Shi. 2016-05-31. Anticipating backward stochastic Volterra integral equations. https://arxiv.org/abs/1503.06427

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