One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients

DOI10.1016/j.spl.2023.109970MaRDI QIDQ6152042

Lijuan Jie, Liangqing Luo, Hua Zhang

Publication date: 12 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

well-posednesspropagation of chaosHölder continuousYamada-Watanabe functionMcKean-Vlasov stochastic Volterra equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the rate of convergence in Wasserstein distance of the empirical measure
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation
• Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
• Volterra equations driven by semimartingales
• Stochastic Volterra equations with singular kernels
• Anticipating stochastic Volterra equations
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
• McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance
• Distribution dependent SDEs with singular coefficients
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
• On the uniqueness of solutions of stochastic differential equations
• Stochastic Volterra equations with anticipating coefficients
• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
• Pricing under rough volatility
• Multifactor Approximation of Rough Volatility Models
• The characteristic function of rough Heston models
• Stochastic Volterra equations with Hölder diffusion coefficients

This page was built for publication: One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients