摘要
In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.
作者
缪亮亮
陈燕红
肖肖
胡亦钧
Liangliang MIAO;Yanhong CHEN;Xiao XIAO;Yijun HU(School of Mathematics and Information Technology,Jiangsu Second Normal University,Nanjing,210013,China;College of Finance and Statistics,Hunan University,Changsha,410082,China;School of Mathematics and Statistics,Wuhan University,Wuhan,430072,China)
基金
supported by the National Natural Science Foundation of China (11901184, 11771343)
the Natural Science Foundation of Hunan Province (2020JJ5025)。
