Linear Volterra backward stochastic differential equations

Yaozhong Hu; Bernt Øksendal

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arXiv · 1708.00208

Linear Volterra backward stochastic differential equations

Yaozhong Hu·Bernt Øksendal

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Abstract

We present an explicit solution triplet $(Y, Z, K)$ to the backward stochastic Volterra integral equation (BSVIE) of linear type, driven by a Brownian motion and a compensated Poisson random measure. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ and $K$ are expressed by Hida-Malliavin derivatives involving $Y$.

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Yaozhong Hu, Bernt Øksendal. 2017-08-01. Linear Volterra backward stochastic differential equations. https://arxiv.org/abs/1708.00208

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