Stochastic Volterra equations with Hölder diffusion coefficients (Q6157004)

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scientific article; zbMATH DE number 7697545
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Stochastic Volterra equations with Hölder diffusion coefficients
scientific article; zbMATH DE number 7697545

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    Stochastic Volterra equations with Hölder diffusion coefficients (English)
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    19 June 2023
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    The class of stochastic Volterra integral equations (SVEs) constitutes a generalization of ordinary stochastic differential equations and serves as well suited mathematical model for numerous random phenomena appearing, e.g., in biology, physics and mathematical finance. In the present paper, the authors investigate the strong existence and pathwise uniqueness of solutions to one-dimensional SVE with locally Hölder continuous diffusion coefficients and sufficiently regular kernels. The motivation to study SVEs with non-Lipschitz coefficients is twofold. On the one hand, it is a natural question to explore to what extent the famous results of Yamada and Watanabe, ensuring pathwise uniqueness and the existence of strong solutions for ordinary stochastic differential equations, can be generalized to SVEs. On the other hand, SVEs with only \(1/2\) Hölder continuous coefficients recently got a great deal of attention in mathematical finance as so-called rough volatility models. The first main contribution is to establish the existence of a strong solution to the SVE provided the diffusion coefficient σ is locally \(1/2 + \xi\)-Hölder continuous for \(\xi \in[0, 1/2]\). To that end, the authors prove the convergence of an Euler type approximation of the SVE and do not use the concept of weak solutions. The second main contribution is to establish pathwise uniqueness for the SVE provided that the diffusion coefficient \(\sigma\) is locally \(1/2 + \xi\)-Hölder continuous for \(\xi\in [0, 1/2]\) or even, more generally, satisfies the classical Yamada-Watanabe condition. To that end, the authors generalize the classical approach of Yamada and Watanabe to the more general setting of SVEs. The properties of solutions to SVEs are also provided.
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    stochastic Volterra equation
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    pathwise uniqueness
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    non-Lipschitz coefficient
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    semimartingale
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    strong solution
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    Yamada-Watanabe theorem
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