Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
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Publication:2040079
DOI10.3150/20-BEJ1284zbMath1480.60142arXiv1912.07445MaRDI QIDQ2040079
Publication date: 9 July 2021
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.07445
Hawkes processesstochastic Volterra equationssuperprocessesrough volatilityaffine Volterra processesRiccati-Volterra equations
Related Items (12)
Utility Maximization in Multivariate Volterra Models ⋮ On the Discrete-Time Simulation of the Rough Heston Model ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients ⋮ Stochastic Volterra equations with Hölder diffusion coefficients ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ On the existence of weak solutions to stochastic Volterra equations ⋮ Affine Volterra processes with jumps ⋮ Log-Modulated Rough Stochastic Volatility Models ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ Existence and uniqueness of solutions for the stochastic Volterra-Levin equation with variable delays
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