A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

Abstract

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite family of standard backward SDEs and establish its well-posedness, and we show that it is equivalent to that of a type-I backward stochastic Volterra integral equation. We also establish a representation formula in terms of non-linear semi-linear partial differential equation of Hamilton–Jacobi–Bellman type. As an application, we consider the study of time-inconsistent stochastic control from a game-theoretic point of view. We show the equivalence of two current approaches to this problem from both a probabilistic and an analytic point of view.