Backward stochastic nonlinear Volterra integral equation with local Lipschitz drift

Auguste Aman (1) , Modeste Nzi (2)

1 LMAI - Laboratoire de Mathématique Appliquées et informatiques
2 LMAI - Laboratoire de Mathématiques Appliquées et Informatique

In this paper, we study backward stochastic nonlinear Volterra integral equations. Under local Lipschitz continuity condition on the drift, we prove existence and uniqueness result. We also established a stability property for this kind of equations.

Mots clés: Adapted process; Backward stochastic differential equation; Volterra integral equation; Adapted process.

Domaines: Probabilités [math.PR]

Auguste Aman, Modeste Nzi. Backward stochastic nonlinear Volterra integral equation with local Lipschitz drift. Probability and Mathematical Statistics, 2005, 25 (1), pp.105-127. ⟨hal-00196810⟩