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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2021

Backward stochastic Volterra integral equations with jumps in a general filtration

Résumé

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.
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Dates et versions

hal-03178603 , version 1 (23-03-2021)

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Alexandre Popier. Backward stochastic Volterra integral equations with jumps in a general filtration. ESAIM: Probability and Statistics, 2021, 25, pp.133-203. ⟨10.1051/ps/2021006⟩. ⟨hal-03178603⟩

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