Wenxue Li, Ruihua Wu, Ke Wang
Abstract:
In this article, we study general backward stochastic Volterra integral
equations (BSVIEs). Combining the contractive-mapping principle,
step-by-step iteration method and mathematical induction, we
establish the existence and uniqueness theorem of M-solution for the
BSVIEs. This theorem could be applied directly to many models, for
example, using the result to a kind of financial models provides a
new and easy method to discuss the existence of dynamic risk
measure.
Submitted August 2, 2013. Published August 21, 2014.
Math Subject Classifications: 45D05, 60H17, 34A12, 60H20.
Key Words: Backward stochastic Volterra integral equations; existence;
uniqueness; dynamic risk measure.
Show me the PDF file (254 KB), TEX file for this article.
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Wenxue Li Department of Mathematics Harbin Institute of Technology (Weihai) Weihai 264209, China Phone +86 0631 5687035, fax +86 0631 5687572 email: wenxuetg@hitwh.edu.cn |
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Ruihua Wu Department of Mathematics Harbin Institute of Technology (Weihai) Weihai 264209, China email: wu_ruihua@hotmail.com |
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Ke Wang Department of Mathematics Harbin Institute of Technology (Weihai) Weihai 264209, China email: wangke@hitwh.edu.cn |
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