Support characterization for regular path-dependent stochastic Volterra integral equations

DOI10.1214/20-EJP576zbMath1476.60093arXiv1908.10786OpenAlexW2970266998MaRDI QIDQ2042796

Yanyan Li

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.10786

zbMATH Keywords

Hölder spacefunctional Itô calculussupport of a measurefunctional Volterra integral equationpath-dependent Volterra processvertical derivative

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Volterra integral equations (45D05)

Related Items (5)

Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients ⋮ Rough differential equations with path-dependent coefficients ⋮ SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES ⋮ Stochastic Volterra equations with Hölder diffusion coefficients ⋮ Time-Inconsistency with Rough Volatility

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