Regularity properties of some stochastic Volterra integrals with singular kernel (Q5959343)

This paper studies path properties of stochastic processes defined by stochastic integrals of Volterra type \(M_t^V(u):=\int_0^tV(t,s) dB_s\). Here \(\{B_t\), \(t\in[0,1]\}\) is a standard Brownian motion, \(\{u_t\), \(t\in[0,1]\}\) is a progressively measurable and bounded stochastic process and \(V\) is a Hilbert-Schmidt map from \(L^2([0,1], dt)\) into itself. The motivation for this problem comes from the study of stochastic integration with respect to the fractional Brownian motion \(\{B_t^H\), \(t\in[0,1]\}\). Indeed, it is known that this process possesses an integral representation like \(B_t^H=\int_0^t K_H(t,s) dB_s\), where \(K_H(t,s)\) is a singular kernel. Path properties for stochastic Volterra integrals with regular kernels have been studied by \textit{M. A. Berger} and \textit{V. J. Mizel} [J. Integral Equ. 2, 187--245 (1980; Zbl 0442.60064)] and \textit{G. Da Prato} and \textit{J. Zabczyk} [``Ergodicity for infinite dimensional systems'' (1996; Zbl 0849.60052)]. The main result establishes that under appropriate conditions there is a version of a suitably defined stochastic integral \(M^V(u)\) with Hölder continuous paths. In fact, \(M^V(u)\) is obtained by left fractional integration of order \(\alpha\in(0,1)\) of some related process in \(L^p\). Thus, almost surely, \(M^V(u)\) belongs to the Besov space \(I_{0^+}^\alpha({\mathcal L}^p) \) which is continuously embedded in the space of \(\alpha-{1\over p}\)-Hölder continuous functions provided that \(\alpha-{1\over p}>0\) [see for instace \textit{S. G. Samko, A. A. Kilbas} and \textit{O. I. Marichev}, ``Fractional integrals and derivatives: Theory and applications'' (1993; Zbl 0617.26004)]. As an application it is proved that if \(\{B_t^H\), \(t\in[0,1]\}\) is a fractional Brownian motion with Hurst parameter \(H\in(0,1)\), then the stochastic integral \(\int_0^t u_s dB_s^H\) of processes \(u\in L^r(\Omega, {\mathcal L}^r)\) with \(r>{1\over H}\vee 2\) is \(H-{1\over r}-\varepsilon\)-Hölder continuous for any \(0<\varepsilon \leq H-{1\over r}\).