Continuous-time dynamic risk measures by backward stochastic Volterra integral equations

Continuous-time dynamic convex and coherent risk measures are introduced. To obtain existence of such risk measures, backward stochastic Volterra integral equations (BSVIEs, for short) are studied. For such equations, notion of adapted M-solution is introduced, well-posedness is established, duality principles and comparison theorems are presented. Then a class of dynamic convex and coherent risk measures are identified as a component of the adapted M-solutions to certain BSVIEs.     

On a class of backward stochastic Volterra integral equations

In this paper, under some restrictions of the time interval, we compare a class of backward stochastic Volterra integral equations with the corresponding simpler one; to be precise, we give the relations between their solutions under global and local Lipschitz conditions on their generator functions. Using these relations, it could be easier to study solutions of more complex equations, where coefficients in backward integrals could be treated as perturbations.     

L p solutions of backward stochastic Volterra integral equations

This paper is devoted to the unique solvability of backward stochastic Volterra integral equations (BSVIEs, for short), in terms of both M-solution and the adapted solutions. We prove the existence and uniqueness of M-solutions of BSVIEs in L ^p (1 < p < 2), which extends the existing results on M-solutions. The unique solvability of adapted solutions of BSVIEs in L ^p (p > 1) is also considered, which also generalizes the results in the existing literature.     

Backward stochastic Volterra integral equations on Markov chains

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.     

Linear Volterra backward stochastic integral equations

We present an explicit solution triplet $(Y,Z,K)$ to the backward stochastic Volterra integral equation (BSVIE) of linear type, driven by a Brownian motion and a compensated Poisson random measure. The process $Y$ is expressed by an integral whose kernel is explicitly given. The processes $Z$ and $K$ are expressed by Hida–Malliavin derivatives involving $Y$.     

New approach to optimal control of stochastic Volterra integral equations

ABSTRACT

We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus.

• We give conditions under which there exist unique solutions of such equations.

• Then we prove both a sufficient maximum principle (a verification theorem) and a necessary maximum principle via Hida-Malliavin calculus.

• As an application we solve a problem of optimal consumption from a cash flow modelled by an SVIE.

     

Existence for a doubly nonlinear Volterra equation

We consider a doubly nonlinear Volterra equation involving a nonsmooth kernel and two possibly degenerate monotone operators. By exploiting an implicit time-discretization procedure, we obtain the existence of a global strong solution and extend to the nonlocal in time situation some former results by Colli [P. Colli, On some doubly nonlinear evolution equations in Banach spaces, Japan J. Indust. Appl. Math. 9 (2) (1992) 181-203].     

The uniqueness of solutions of perturbed backward stochastic differential equations

We prove a result on the preservation of the pathwise uniqueness property for the adapted solution to backward stochastic differential equation under perturbations.     

Differential transform method for solving Volterra integral equation with separable kernels

In this paper, Volterra integral equations with separable kerenels are solved using the differential transform method. The approximate solution of this equation is calculated in the form of a series with easily computable terms. Exact solutions of linear and nonlinear integral equations have been investigated and the results illustrate the reliability and the performance of the differential transform method.     

Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes

In this paper, a new class of backward doubly stochastic differential equations driven by Teugels martingales associated with a Lévy process satisfying some moment condition and an independent Brownian motion is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to a class of stochastic partial differential integral equations is given.     

Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes

In this paper, a new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to a class of stochastic partial differential integral equations (PDIEs in short) with a nonlinear Neumann boundary condition is given.     

Nonlocal diffusion,a Mittag-Leffler function and a two-dimensional Volterra integral equation

In this paper we consider a particular class of two-dimensional singular Volterra integral equations. Firstly we show that these integral equations can indeed arise in practice by considering a diffusion problem with an output flux which is nonlocal in time; this problem is shown to admit an analytic solution in the form of an integral. More crucially, the problem can be re-characterized as an integral equation of this particular class. This example then provides motivation for a more general study: an analytic solution is obtained for the case when the kernel and the forcing function are both unity. This analytic solution, in the form of a series solution, is a variant of the Mittag-Leffler function. As a consequence it is an entire function. A Gronwall lemma is obtained. This then permits a general existence and uniqueness theorem to be proved.     

Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion

In this paper, an efficient numerical technique is applied to provide the approximate solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion with Hurst parameter . The proposed method is based on the operational matrices of modification of hat functions (MHFs) and the collocation method. In this approach, by approximating functions that appear in the integral equation by MHFs and using Newton's‐Cotes points, nonlinear integral equation is transformed to nonlinear system of algebraic equations. This nonlinear system is solved by using Newton's numerical method, and the approximate solution of integral equation is achieved. Some theorems related to error estimate and convergence analysis of the suggested scheme are also established. Finally, 2 illustrative examples are included to confirm applicability, efficiency, and accuracy of the proposed method. It should be noted that this scheme can be used to solve other appropriate problems, but some modifications are required.     

非线性二维Volterra积分方程的一个高阶数值格式

对非线性二维Volterra积分方程构造了一个高阶数值格式.block-byblock方法对积分方程来说是一个非常常见的方法,借助经典block-by-block方法的思想,构造了一个所谓的修正block-by-block方法.该方法的优点在于除u(x_1,y),u(x_2,y),u(x,y_1)和u(x,y_2)外,其余的未知量不需要耦合求解,且保存了block-by-block方法好的收敛性.并对此格式的收敛性进行了严格的分析,证明了数值解逼近精确解的阶数是4阶。     

Numerical solution of multiple nonlinear Volterra integral equations

We analyze a discretization method for solving nonlinear integral equations that contain multiple integrals. These equations include integral equations with a Volterra series, instead of a single integral term, on one side of the equation. We prove existence and uniqueness of solutions, and convergence and estimates of the order of convergence for the numerical methods of solution.     

Blow-up time for solutions to some nonlinear Volterra integral equations

The problem of the estimating of a blow-up time for solutions of Volterra nonlinear integral equation with convolution kernel is studied. New estimates, lower and upper, are found and, moreover, the procedure for the improvement of the lower estimate is presented. Main results are illustrated by examples. The new estimates are also compared with some earlier ones related to a shear band model.     

On the solution of a mixed nonlinear integral equation

In this paper, we consider a mixed nonlinear integral equation of the second kind in position and time. The existence of a unique solution of this equation is discussed and proved. A numerical method is used to obtain a system of Harmmerstein integral equations of the second kind in position. Then the modified Toeplitz matrix method, as a numerical method, is used to obtain a nonlinear algebraic system. Many important theorems related to the existence and uniqueness solution to the produced nonlinear algebraic system are derived. The rate of convergence of the total error is discussed. Finally, numerical examples when the kernel of position takes a logarithmic and Carleman forms, are presented and the error estimate, in each case, is calculated.