Path-dependent backward stochastic Volterra integral equations with jumps,differentiability and duality principle

作     者：Ludger Overbeck Jasmin A.L.Roder 

作者机构：Institute of MathematicsUniversity of GießenArndtsraße 235392 GießenGermany 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2018年第3卷第1期

页      面：109-145页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Path-dependent backward stochastic Volterra integral equation Jump diffusion Path-differentiability Duality principle Comparison theorem Functional Ito formula Dynamic coherent risk measure 

摘      要：We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations(BSVIEs)with jumps,where path-dependence means the dependence of the free term and generator of a path of a c`adl`ag ***,we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation(FSVIE)with jumps and a linear path-dependent BSVIE with *** a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps.