Explicit Solution of Infinite-Horizon Linear Backward Stochastic Volterra Integral Equations
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866912968714747904 |
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| author | Yakhlef, Samia Ardjan, Hilel |
| author_facet | Yakhlef, Samia Ardjan, Hilel |
| contents | We study linear backward stochastic Volterra integral equations (BSVIEs) on the infinite time horizon. By introducing weighted function spaces with exponential decay, we establish existence and uniqueness of adapted M-solutions. We construct an infinite-horizon resolvent kernel and derive explicit formulas for the solution components (Y,Z,K) using a Girsanov transformation and Hida-Malliavin calculus. The results extend the finite-horizon theory of Hu and Oksendal to the infinite horizon framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_15479 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Explicit Solution of Infinite-Horizon Linear Backward Stochastic Volterra Integral Equations Yakhlef, Samia Ardjan, Hilel Probability We study linear backward stochastic Volterra integral equations (BSVIEs) on the infinite time horizon. By introducing weighted function spaces with exponential decay, we establish existence and uniqueness of adapted M-solutions. We construct an infinite-horizon resolvent kernel and derive explicit formulas for the solution components (Y,Z,K) using a Girsanov transformation and Hida-Malliavin calculus. The results extend the finite-horizon theory of Hu and Oksendal to the infinite horizon framework. |
| title | Explicit Solution of Infinite-Horizon Linear Backward Stochastic Volterra Integral Equations |
| topic | Probability |
| url | https://arxiv.org/abs/2603.15479 |