Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle View Full Text


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Article Info

DATE

2018-06-05

AUTHORS

Ludger Overbeck, Jasmin A. L. Röder

ABSTRACT

We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation (FSVIE) with jumps and a linear path-dependent BSVIE with jumps. As a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps. More... »

PAGES

4

Identifiers

URI

http://scigraph.springernature.com/pub.10.1186/s41546-018-0030-2

DOI

http://dx.doi.org/10.1186/s41546-018-0030-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1104404412


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