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Anticipating backward stochastic Volterra integral equations

We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator involves not only the present values but also the future values of the solutions. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions to these anticipating BSVIEs.

preprint2016arXivOpen access
Jiaqiang WenYufeng Shi
math.PR
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Open access2 authors1 topic
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Jiaqiang WenYufeng Shi

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