Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators

Yong Ren; Harouna Coulibaly; Auguste Aman

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arXiv · 2110.00753

Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators

Yong Ren·Harouna Coulibaly·Auguste Aman

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Abstract

This note aims to give an explicit solution for backward stochastic Volterra integral equations with linear time delayed generators. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ is expressed by Hida-Malliavin derivatives involving $Y$.

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Yong Ren, Harouna Coulibaly, Auguste Aman. 2021-10-02. Explicit solution for backward stochastic Volterra integral equations with linear time delayed generators. https://arxiv.org/abs/2110.00753

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