Special Session 146: 

Representation of Adapted Solutions to Backward Stochastic Volterra Integral Equations

Jiongmin Yong
University of Central Florida
USA
Co-Author(s):    Tianxiao Wang and Jiongmin Yong
Abstract:
For backward stochastic Volterra integral equations, under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However, satisfactory regularity of the solutions is difficult to obtain in general. Inspired by the decoupling idea of forward-backward stochastic differential equations, for a class of backward stochastic Volterra integral equations, a representation of adapted M-solutions is established by means of the so-called representation partial differential equations and (forward) stochastic differential equations.