大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

A survey of backward stochastic Volterra integral equations

Tianxiao Wang (Sichuan University)

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第126回

A survey of backward stochastic Volterra integral equations

Tianxiao Wang (Sichuan University)

In this lecture, I will give a systematical survey of backward stochastic Volterra integral equations (BSVIEs), which is an extension of backward stochastic differential equation. In the theoretical standpoint, we discuss the well-posedness under various conditions, as well as the comparison theorems of adapted solutions. Then we move to the interesting applications of BSVIEs in stochastic optimal control theory, partial differential equations, and mathematical finance problems.