Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels

DOI10.1016/J.AML.2020.106880MaRDI QIDQ2225286zbMATH OpenOpenAlexFDO

Authors Min Li, Chengming Huang, Yaozhong Hu

Publication date 8 February 2021

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2020.106880

zbMATH Keywords

asymptotic separation rate of two distinct solutionsreverse singular Gronwall inequalitystochastic Volterra integral equations with doubly singular kernel

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integral equations (60H20) Singular integral equations (45E99) Asymptotics of solutions to integral equations (45M05)

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Cites work

• Analysis on Gaussian spaces
• Asymptotic separation between solutions of Caputo fractional stochastic differential equations
• Geometric theory of semilinear parabolic equations
• Integral equations with diagonal and boundary singularities of the kernel
• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
• Mittag-Leffler functions, related topics and applications
• NUMERICAL SOLUTION OF VOLTERRA INTEGRAL EQUATIONS WITH WEAKLY SINGULAR KERNELS WHICH MAY HAVE A BOUNDARY SINGULARITY

Cited in

(8)

• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
• Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
• Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
• A variation of constant formula for Caputo-Hadamard fractional stochastic differential equations
• Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• Stochastic heat equation with general rough noise
• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method

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