JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (07): 63-68.doi: 10.6040/j.issn.1671-9352.0.2014.041

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Backward stochastic Volterra integral equations with general martingales

ZHAO Jie1,3, SHI Yu-feng2,3   

  1. 1. The People's Bank of China Heze Central Subbranch, Heze 274000, Shandong, China;
    2. Institute for Financial Studies, Shandong University, Jinan 250100, Shandong, China;
    3. School of Mathematics, Shandong University, Jinan 250100, Shandong, China
  • Received:2014-02-03 Online:2014-07-20 Published:2014-09-15

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Abstract: The existence and uniqueness result of the adapted M-solution of backward stochastic Volterra integral equations (BSVIEs) driven by general martingales under Lipschitz conditions was proved, and the duality principles of the linear BSVIEs driven by general martingales were given. At last a comparison theorem of this kind of BSVIEs was showed by virtue of the duality principles.

Key words: adapted M-solution, Backward stochastic Volterra integral equation, duality principle

CLC Number: 

  • O211.6
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