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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 25, Fasc. 1,
pages 105 - 127
 

BACKWARD STOCHASTIC NONLINEAR VOLTERRA INTEGRAL EQUATIONS WITH LOCAL LIPSCHITZ DRIFT

Auguste Aman
Modeste N’Zi

Abstract: In this paper, we study backward stochastic nonlinear Volterra integral equations. Under a local Lipschitz continuity condition on the drift, we prove the existence and uniqueness result. We also establish a stability property for this kind of equations.

2000 AMS Mathematics Subject Classification: 60H20, 60H05.

Key words and phrases: Backward stochastic differential equation, Volterra integral equation, adapted process.

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