论文标题
反映向后的随机伏尔泰拉积分方程和相关的时间不一致的最佳停止问题
Reflected Backward Stochastic Volterra Integral Equations and related time-inconsistent optimal stopping problems
论文作者
论文摘要
我们研究了由布朗运动驱动的一维连续反射的向后反射的伏特拉斯积分方程的解决方案，在该方程中，反射使溶液保持在给定的随机过程（下障碍物）之上。我们通过固定点参数证明存在和唯一性，并得出比较结果。此外，我们展示了问题的解决方案与时间不一致的最佳停止问题并得出最佳策略有关。
We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We prove existence and uniqueness by a fixed point argument and we derive a comparison result. Moreover, we show how the solution of our problem is related to a time-inconsistent optimal stopping problem and derive an optimal strategy.
