Backward stochastic Volterra integral equations associated with a Levy process and applications

Abstract

In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent Lévy 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.

Cited by in corpus (1)

• Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations