Backward stochastic Volterra integral equations with jumps in a general filtration

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Esaim-Probability and Statistics Pub Date : 2020-02-17 DOI:10.1051/PS/2021006

A. Popier

引用次数: 11

Abstract

In this paper, we study backward stochastic Volterra integral equations introduced in Lin [Stochastic Anal. Appl. 20 (2002) 165–183] and Yong [Stochastic Process. Appl. 116 (2006) 779–795] and extend the existence, uniqueness or comparison results for general filtration as in Papapantoleon et al. [Electron. J. Probab. 23 (2018) EJP240] (not only Brownian-Poisson setting). We also consider Lp-data and explore the time regularity of the solution in the Itô setting, which is also new in this jump setting.

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一般滤波中带跳跃的倒向随机Volterra积分方程

本文研究了Lin [stochastic Anal]中引入的倒向随机Volterra积分方程。应用学报，20 (2002)165-183 [j]。并推广了Papapantoleon等人的一般过滤的存在性、唯一性或比较结果[电子]。[j] .概率学报，23 (2018)EJP240](不只是布朗泊松设定)。我们还考虑了lp数据，并探索了Itô设置下解的时间规律性，这也是这个跳跃设置中的新内容。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Esaim-Probability and Statistics STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

>12 weeks

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