Volterra equations driven by semimartingales

From MaRDI portal
Publication:1059930

DOI10.1214/aop/1176993006zbMath0567.60065OpenAlexW2073439785MaRDI QIDQ1059930

Philip E. Protter

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993006




Related Items (58)

Ambit Fields: Survey and New ChallengesOn Émery's Inequality and a Variation-of-Constants FormulaA collocation technique for solving nonlinear stochastic Itô-Volterra integral equationsStochastic Volterra equations with singular kernelsLévy driven moving averages and semimartingalesAdapted solution of a backward stochastic nonlinear Volterra integral equationStochastic Volterra integral equations and a class of first-order stochastic partial differential equationsStochastic Volterra equations in Banach spaces and stochastic partial differential equationInhomogeneous affine Volterra processesMonotone iterative technique for 1-dimensional Itô-volterra integral equationsOn Volterra equations driven by semimartingalesExistence and smoothness of the density of the solution to fractional stochastic integral Volterra equationsNew approach to optimal control of stochastic Volterra integral equationsLévy-driven Volterra equations in space and timeStochastic partial integral-differential equations with divergence termsOptimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control RegionsNON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPSSimulation of Stochastic Volterra Equations Driven by Space–Time Lévy NoiseMean-field backward doubly stochastic Volterra integral equations and their applicationsError distribution of the Euler approximation scheme for stochastic Volterra equationsNecessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equationsApproximation of Stochastic Volterra Equations with kernels of completely monotone typeOne-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficientsStochastic Volterra equations with Hölder diffusion coefficientsStrong convergence analysis for Volterra integro-differential equations with fractional Brownian motionsFast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponentOn stochastic integration for volatility modulated Lévy-driven Volterra processesStochastic Volterra integral equations with a parameterLinear quadratic control problems of stochastic Volterra integral equationsAnticipating stochastic Volterra equationsEuler schemes and large deviations for stochastic Volterra equations with singular kernelsAn optimal control problem of forward-backward stochastic Volterra integral equations with state constraintsExistence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficientsParacontrolled distribution approach to stochastic Volterra equationsDiscrete-time simulation of stochastic Volterra equationsVolterra equations driven by rough signalsApproximate representations of solutions to SVIEs, and an application to numerical analysisWell-posedness and regularity of backward stochastic Volterra integral equationsStochastic volterra equations in the plane: smoothness of the lawSolutions of stochastic partial differential equations considered as Dirichlet processesRough Volterra equations. II: Convolutional generalized integralsStochastic Volterra equation driven by Wiener process and fractional Brownian motionBackward stochastic Volterra integral equations -- a brief surveyBackward stochastic Volterra integral equations and some related problemsUnnamed ItemAffine Volterra processesSupport characterization for regular path-dependent stochastic Volterra integral equationsA unified approach to well-posedness of type-I backward stochastic Volterra integral equationsPath-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principleRegularity of Backward Stochastic Volterra Integral Equations in Hilbert SpacesTime fractional stochastic differential equations driven by pure jump Lévy noiseA two-parameter Milstein method for stochastic Volterra integral equationsROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTINGON STOCHASTIC EVOLUTION EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTSBackward stochastic Volterra integral equations with jumps in a general filtrationA weak solution theory for stochastic Volterra equations of convolution typeOn stochastic control for time changed Lévy dynamicsSTOCHASTIC VOLTERRA EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H > 1/2




This page was built for publication: Volterra equations driven by semimartingales