Wen Lv. Backward stochastic Volterra integral equations associated with a Levy process and applications
Natural Sciences / Mathematics / Probability
Submitted on: May 10, 2012, 18:25:08
Description: In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent L'{e}vy process and an independent Brownian motion (BSVIELs). We prove the existence and uniqueness as well as stability of the adapted M-solutions for those equations. Moreover, a duality principle and then a comparison theorem are established. As an application, we derive a class of dynamic risk measures by means of M-solutions of certain BSVIELs.