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arXiv · 2603.15479

Explicit Solution of Infinite-Horizon Linear Backward Stochastic Volterra Integral Equations

Samia Yakhlef·Hilal Ardjani
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Abstract

We study linear backward stochastic Volterra integral equations (BSVIEs) on the infinite time horizon. By introducing weighted function spaces with exponential decay, we establish existence and uniqueness of adapted M-solutions. We construct an infinite-horizon resolvent kernel and derive explicit formulas for the solution components (Y,Z,K) using a Girsanov transformation and Hida Malliavin calculus. The results extend the finite-horizon theory of Hu and Oksendal to the infinite horizon framework.

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Samia Yakhlef, Hilal Ardjani. 2026-03-16. Explicit Solution of Infinite-Horizon Linear Backward Stochastic Volterra Integral Equations. https://arxiv.org/abs/2603.15479

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