Linear Volterra backward stochastic integral equations

Mean-Field Backward Stochastic Volterra Integral Equations

Mean-field backward stochastic Volterra integral equations (MF-BSVIEs, for short) are introduced and studied. Well-posedness of MF-BSVIEs in the sense of introduced adapted Msolutions is established. Two duality principles between linear mean-field (forward) stochastic Volterra integral equations (MF-FSVIEs, for short) and MF-BSVIEs are obtained. Several comparison theorems for MF-FSVIEs and MF...

Stochastic Volterra integral equations with a parameter

Approximate Solution of Linear Volterra-Fredholm Integral Equations and Systems of Volterra-Fredholm Integral Equations Using Taylor Expansion Method

In this study, a new application of Taylor expansion is considered to estimate the solution of Volterra-Fredholm integral equations (VFIEs) and systems of Volterra-Fredholm integral equations (SVFIEs). Our proposed method is based upon utilizing the nth-order Taylor polynomial of unknown function at an arbitrary point and employing integration method to convert VFIEs into a system of linear equ...

General linear methods for Volterra integral equations

s of IWANASP, September 10 – 12, 2008, Ericeira, Portugal GENERAL LINEAR METHODS FOR VOLTERRA INTEGRAL EQUATIONS ZDZISÃlAW JACKIEWICZ Departament of Mathematics, Arizona State University Tempe, Arizona 85287, USA E-mail: [email protected] We investigate the class of general linear methods of order p and stage order q = p for the numerical solution of Volterra integral equations of the se...

Existence and Uniqueness of M-solutions for Backward Stochastic Volterra Integral Equations

In this article, we study general backward stochastic Volterra integral equations (BSVIEs). Combining the contractive-mapping principle, stepby-step iteration method and mathematical induction, we establish the existence and uniqueness theorem of M-solution for the BSVIEs. This theorem could be applied directly to many models, for example, using the result to a kind of financial models provides...