References
- N. Agram and B. {\O}ksendal, Malliavin calculus and optimal control of stochastic Volterra equations, J. Optim. Theory Appl. 167 (2015), pp. 1070–1094.
- P. Barrieu and N. El Karoui, Optimal derivatives design under dynamic risk measures, in Mathematics of Finance, Contemporary Mathematics Vol. 351, G. Yin and Q. Zhang, eds. American Mathematical Society, Providence, RI, 2004, pp. 13–25.
- S. Cohen and R. Elliott, Solutions of backward stochastic differential equations on markov chains, Commun. Stoch. Anal. 2 (2008), pp. 251–262.
- S. Cohen and R. Elliott, Comparisons for backward stochastic differential equations on markov chains and related no-arbitrage conditions, Ann. Appl. Probab. 20 (2010), pp. 267–311.
- S. Cohen and R. Elliott, A general theory of finite state backward stochastic difference equations, Stoch. Process. Appl. 120 (2010), pp. 442–466.
- C. Corduneanu, Integral equations and applications, Cambridge University Press, Cambridge, 1991.
- R. Elliott, L. Aggoun, and J. Moore, Hidden markov models: Estimation and control, Springer-Verlag, New York, 2008.
- E. Pardoux and S. Peng, Adapted solution of a backward stochastic differential equation, Syst. Control Lett. 14 (1990), pp. 55–61.
- Y. Ren, On solutions of backward stochastic volterra integral equations with jumps in hilbert spaces, J. Optim. Theory Appl. 144 (2010), pp. 319–333.
- E. Rosazza, Gianin, Risk measures via g-expectations, Insur. Math. Econ. 39 (2006), pp. 19–34.
- Y. Shi and T. Wang, Solvability of general backward stochastic volterra integral equations, J. Korean Math. Soc. 49 (2012), pp. 1301–1321.
- T. Wang and Y. Shi, A class of time inconsistent risk measures and backward stochastic Volterra integral equations, Risk Decis. Anal. 4 (2013), pp. 17–24.
- T. Wang and J. Yong, Comparison theorems for some backward stochastic Volterra integral equations, Stoch. Process. Appl. 125 (2015), pp. 1756–1798.
- J. Yong, Backward stochastic Volterra integral equations and some related problems, Stoch. Process. Appl. 116 (2006), pp. 779–795.
- J. Yong, Continuous-time dynamic risk measures by backward stochastic Volterra integral equations, Appl. Anal. 86 (2007), pp. 1429–1442.
- J. Yong, Well-posedness and regularity of backward stochastic Volterra integral equation, Probab. Theory Relat. Fields 142 (2008), pp. 21–77.
- J. Yong, Backward stochastic Volterra integral equations -- A brief survey, Appl. Math. A J. Chin. Univ. 28 (2013), pp. 383–394.