TY - JOUR
T1 - Backward stochastic Volterra integral equations on Markov chains
AU - Wei, Jiaqin
N1 - Publisher Copyright:
© 2017 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2018/5/19
Y1 - 2018/5/19
N2 - This paper studies Backward Stochastic Volterra Integral Equations (BSVIEs) driven by finite state, continuous time Markov chains. First, the existence and uniqueness of the solutions to two types of BSVIEs are established. Second, some scalar and vector comparison theorems are given. Finally, the applications of BSVIEs to a linear-quadratic optimal control problem and time-inconsistent coherent risk measures are presented.
AB - This paper studies Backward Stochastic Volterra Integral Equations (BSVIEs) driven by finite state, continuous time Markov chains. First, the existence and uniqueness of the solutions to two types of BSVIEs are established. Second, some scalar and vector comparison theorems are given. Finally, the applications of BSVIEs to a linear-quadratic optimal control problem and time-inconsistent coherent risk measures are presented.
KW - Backward stochastic Volterra integral equation
KW - Markov chains
KW - comparison theorem
KW - dynamic risk measures
UR - https://www.scopus.com/pages/publications/85030160174
U2 - 10.1080/17442508.2017.1381096
DO - 10.1080/17442508.2017.1381096
M3 - 文章
AN - SCOPUS:85030160174
SN - 1744-2508
VL - 90
SP - 605
EP - 639
JO - Stochastics
JF - Stochastics
IS - 4
ER -