Backward stochastic Volterra integral equations with time delayed generators

Harouna Coulibaly; Auguste Aman

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arXiv · 2110.01764

Backward stochastic Volterra integral equations with time delayed generators

Harouna Coulibaly·Auguste Aman

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Abstract

In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the help of two examples of this BSVIEs we provide this condition is necessary. However, for special class of delayed generators, the previous existence and uniqueness result hold for an arbitrary time horizon and Lipschitz constant. We end this paper by establishing under an additive assumptions, a path continuity property.

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BibTeX RIS

Harouna Coulibaly, Auguste Aman. 2021-10-05. Backward stochastic Volterra integral equations with time delayed generators. https://arxiv.org/abs/2110.01764

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