Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
发布时间：2024-10-25
点击次数：
影响因子：1.3
DOI码：10.1016/j.jmaa.2024.128089
发表刊物：J. Math. Anal. Appl.
关键字：Mean-field backward doubly;stochastic Volterra integral equation;Regularity of M-solutions;Malliavin calculus;Comparison theorem;Dynamic risk measure
摘要：In this paper, the theory of mean-field backward doubly stochastic Volterra integral equations (MF-BDSVIEs) is studied. First, we derive the well-posedness of M-solutions to MF-BDSVIEs, and prove the comparison theorem for such a type of equations. Furthermore, the regularity result of the M-solution for MF-BDSVIEs is established by virtue of Malliavin calculus. Finally, as an application of the comparison theorem, we obtain the properties of dynamic risk measures governed by MF-BDSVIEs.
合写作者：Jinbiao Wu
第一作者：Bixuan Yang
论文类型：期刊论文
通讯作者：Tiexin Guo
论文编号：128089
学科门类：理学
一级学科：数学
文献类型：J
卷号：535
ISSN号：0022-247X
是否译文：否
发表时间：2024-01-08
收录刊物：SCI
发布期刊链接：https://www.sciencedirect.com/science/article/pii/S0022247X24000106