Existence and continuity with respect to parameter of solutions to stochastic Volterra equations in a plane (Q847879): Difference between revisions
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Revision as of 12:06, 2 July 2024
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English | Existence and continuity with respect to parameter of solutions to stochastic Volterra equations in a plane |
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Existence and continuity with respect to parameter of solutions to stochastic Volterra equations in a plane (English)
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19 February 2010
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Let \((\Omega,{\mathfrak I},P)\) be a complete probabilistic space, \(F= ({\mathfrak I}_z: z\in \mathbb{R}^2_+)\) be a two-parameter family of \(\sigma\)-algebras. \(T\) and \(P\) denote \(F\)-progressively measurable and \(F\)-predictable subsets of the space \(\mathbb{R}^2_+\times\Omega\). \(A\) denotes the space of \(T\)-measurable right continuous random fields and \(M^2_S\) the space of square-integrable strong \(F\)-martingales. In the present paper the stochastic integral Volterra equation in the plain \[ \xi(z)= \eta(z)+ \int_{[0,z]} a(z,x,\xi_z) A(z, dx)+ \int_{[0,z]} b(z,x,\xi_z) M(z,dx),\quad z\in \mathbb{R}^2_+\tag{1} \] is studied \(\int_{[0,z]} a(z,x,\xi_z) A(z, dx)\). The author proves than under Lipschitz assumptions on functions \(a\) and \(b\) existence and uniqueness of solutions of (1). In this paper is two considered the family of stochastic integral Volterra equations in the plaine: \[ \xi_s(z)= \eta^{(s)}(z)+ \int_{[0,z]} a_s(z, x, \xi^{(s)}_z)A_s(z, dx)+ \int_{[0,z]} b_s(z,x,\xi^{(s)}_z) M_s(z, dx). \] The author studies a continuity of solutions with respect to parameter.
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two-parameter process
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random fields
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stochastic Volterra equation
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