Stochastic Volterra equations with singular kernels

MaRDI QIDQ2752090zbMATH OpenFDO

Authors L. Coutin, Laurent Decreusefond

Publication date 20 February 2002

zbMATH Keywords

Gross-Sobolev regularitykernelVolterra stochastic equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Review text

Motivated by stochastic calculus for fractional Brownian motion, the authors study Volterra stochastic differential equations with non-necessarily bounded deterministic kernels. Although such kernels are highly singular, the integral map canonically associated to it behaves like a regularizing operator. Under Hilbert-Schmidt and smoothness hypothesis, the authors prove a maximal inequality for the stochastic integral involved in the Volterra equation, an existence and uniqueness result, study Gross-Sobolev regularity (differentiability) and an integral representation of the solution. For the entire collection see [Zbl 0964.00014].

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Cited in

(48)

• Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
• Further results on some singular linear stochastic differential equations
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• Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion
• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• Support characterization for regular path-dependent stochastic Volterra integral equations
• A weak solution theory for stochastic Volterra equations of convolution type
• Large and moderate deviations for stochastic Volterra systems
• Inhomogeneous affine Volterra processes
• Itô differential representation of singular stochastic Volterra integral equations
• Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels
• Paracontrolled distribution approach to stochastic Volterra equations
• Discrete-time simulation of stochastic Volterra equations
• Affine Volterra processes
• Existence and Besov regularity of the density for a class of SDEs with Volterra noise
• A BMO estimate for stochastic singular integral operators and its application to SPDEs
• Stochastic Volterra equations driven by fractional Brownian motion
• Lévy-driven Volterra equations in space and time
• Regularity of local times associated with Volterra-Lévy processes and path-wise regularization of stochastic differential equations
• The several results of singular linear stochastic differential equations
• On semilinear stochastic fractional differential equations of Volterra type
• Semilinear fractional stochastic differential equations driven by a \(\gamma\)-Hölder continuous signal with \(\gamma > 2/3\)
• Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
• scientific article; zbMATH DE number 7578151 (Why is no real title available?)
• On solutions of neutral stochastic delay Volterra equations with singular kernels
• Rough Volterra equations. II: Convolutional generalized integrals
• Regularity properties of some stochastic Volterra integrals with singular kernel
• A support theorem for stochastic differential equations driven by a fractional Brownian motion
• Error distribution of the Euler approximation scheme for stochastic Volterra equations
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type
• One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients
• Stochastic Volterra equations with Hölder diffusion coefficients
• The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
• Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
• Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
• Convex ordering for stochastic Volterra equations and their Euler schemes
• Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
• On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
• Path independence for the additive functionals of stochastic Volterra equations with singular kernels and Hölder continuous coefficients
• On the analysis of a singular stochastic Volterra differential equation driven by a Wiener noise
• Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients
• Neural stochastic Volterra equations: learning path-dependent dynamics
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients

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