1. Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1;2. Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, N–0316 Oslo, Norway
Abstract:
We present an explicit solution triplet to the backward stochastic Volterra integral equation (BSVIE) of linear type, driven by a Brownian motion and a compensated Poisson random measure. The process is expressed by an integral whose kernel is explicitly given. The processes and are expressed by Hida–Malliavin derivatives involving .