Volume 25, 2021
|Page(s)||133 - 203|
|Published online||23 March 2021|
Backward stochastic Volterra integral equations with jumps in a general filtration
Laboratoire Manceau de Mathématiques, Le Mans Université, Avenue O. Messiaen,
Le Mans cedex 9, France.
* Corresponding author: firstname.lastname@example.org
Accepted: 26 January 2021
In this paper, we study backward stochastic Volterra integral equations introduced in Lin [Stochastic Anal. Appl. 20 (2002) 165–183] and Yong [Stochastic Process. Appl. 116 (2006) 779–795] and extend the existence, uniqueness or comparison results for general filtration as in Papapantoleon et al. [Electron. J. Probab. 23 (2018) EJP240] (not only Brownian-Poisson setting). We also consider Lp-data and explore the time regularity of the solution in the Itô setting, which is also new in this jump setting.
Mathematics Subject Classification: 45D99 / 60H20 / 60H99
Key words: Backward Volterra integral equation / general filtration / Lp-solution / jumps / time regularity
© The authors. Published by EDP Sciences, SMAI 2021
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