Volterra equations driven by rough signals

DOI10.1016/J.SPA.2021.08.001MaRDI QIDQ2239253zbMATH OpenOpenAlexFDO

Authors Fabian A. Harang, S. Tindel

Publication date 3 November 2021

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1912.02064

zbMATH Keywords

fractional differential equationslinear Volterra integral equationsrough path theorysignature of path

Mathematics Subject Classification ID

Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Volterra integral equations (45D05) Stochastic integral equations (60H20) Rough paths (60L20)

Abstract: This article is devoted to the extension of the theory of rough paths in the context of Volterra equations with possibly singular kernels. We begin to describe a class of two parameter functions defined on the simplex called Volterra paths. These paths are used to construct a so-called Volterra-signature, analogously to the signature used in Lyon's theory of rough paths. We provide a detailed algebraic and analytic description of this object. Interestingly, the Volterra signature does not have a multiplicative property similar to the classical signature, and we introduce an integral product behaving like a convolution extending the classical tensor product. We show that this convolution product is well defined for a large class of Volterra paths, and we provide an analogue of the extension theorem from the theory of rough paths (which guarantees in particular the existence of a Volterra signature). Moreover the concept of convolution product is essential in the construction of Volterra controlled paths, which is the natural class of processes to be integrated with respect to the driving noise in our situation. This leads to a rough integral given as a functional of the Volterra signature and the Volterra controlled paths, combined through the convolution product. The rough integral is then used in the construction of solutions to Volterra equations driven by H"older noises with singular kernels. An example concerning Brownian noises and a singular kernel is treated

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Cited in

(17)

• Skorohod and rough integration for stochastic differential equations driven by Volterra processes
• Skorohod and Stratonovich integrals for controlled processes
• Paracontrolled distribution approach to stochastic Volterra equations
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