Stochastic Volterra equations with Hölder diffusion coefficients

DOI10.1016/j.spa.2023.04.005arXiv2204.02648OpenAlexW4364375578MaRDI QIDQ6157004

David Scheffels, David J. Prömel

Publication date: 19 June 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.02648

zbMATH Keywords

strong solutionstochastic Volterra equationpathwise uniquenesssemimartingaleYamada-Watanabe theoremnon-Lipschitz coefficient

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integral equations (60H20)

Related Items (2)

One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients ⋮ On the existence of weak solutions to stochastic Volterra equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Strong and weak approximation of semilinear stochastic evolution equations
• 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
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• Support characterization for regular path-dependent stochastic Volterra integral equations
• A weak solution theory for stochastic Volterra equations of convolution type
• A fractional Bihari inequality and some applications to fractional differential equations and stochastic equations
• Affine Volterra processes
• Markovian structure of the Volterra Heston model
• On the uniqueness of solutions of stochastic differential equations
• Stochastic Volterra equations with anticipating coefficients
• The stochastic Fubini theorem revisited
• Pricing under rough volatility
• Multifactor Approximation of Rough Volatility Models
• The characteristic function of rough Heston models
• Probability theory. A comprehensive course

This page was built for publication: Stochastic Volterra equations with Hölder diffusion coefficients