Symmetrical Solutions of Backward Stochastic Volterra Integral Equations and Their Applications
Tianxiao Wang, Yufeng Shi
TL;DR
This paper introduces a new class of symmetrical solutions for backward stochastic Volterra integral equations, providing novel theoretical insights and applications in dynamic risk measures.
Contribution
It defines adapted symmetrical solutions for BSVIEs, distinct from existing M-solutions, and explores their properties and applications.
Findings
Introduction of adapted symmetrical solutions (S-solutions) for BSVIEs
New theoretical results on the properties of S-solutions
Application to dynamic coherent risk measures
Abstract
Backward stochastic Volterra integral equations (BSVIEs in short) are studied. We introduce the notion of adapted symmetrical solutions (S-solutions in short), which are different from the M-solutions introduced by Yong [17]. We also give some new results for them. At last a class of dynamic coherent risk measures were derived via certain BSVIEs.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and financial applications · Nonlinear Differential Equations Analysis · Financial Risk and Volatility Modeling