Backward stochastic Volterra integral equations with jumps in a general filtration

Alexandre Popier (1)

1 LMM - Laboratoire Manceau de Mathématiques

In this paper, we study backward stochastic Volterra integral equations introduced in [36] and extend the existence, uniqueness or comparison results for general filtration (not only Brownian-Poisson setting) and L p-data with p < 2. Moreover the time regularity of the solution is explored, which is also new in this jump setting.

Mots clés: time regularity; Backward Volterra integral equation; general filtration; L p -solution; jumps

Domaines: Probabilités [math.PR]

Alexandre Popier. Backward stochastic Volterra integral equations with jumps in a general filtration. 2019. ⟨hal-02146381v1⟩