By Camilo Hernández and Dylan Possamaï

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show that it is equivalent to that of a type-I backward stochastic Volterra integral equation. We also... Show more

August 3, 2020

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A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

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