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 [26, 45] and extend the existence, uniqueness or comparison results for general filtration as in [31] (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.

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

Domaines: Probabilités [math.PR]

Alexandre Popier. Backward stochastic Volterra integral equations with jumps in a general filtration. 2020. ⟨hal-02146381v2⟩