scientific article; zbMATH DE number 1409843
The author considers stochastic equations of the type \[ x(t)=y(t)+\int_0^{t} K(t,s)x(s)* dW(s), \quad t\in[0,1], \tag{1} \] where \(y(\cdot)\) is a stochastic process, \(K(\cdot,\cdot)\) is a nonrandom kernel. The superposition in (1) is defined in different ways. This superposition is regarded as stochastic integral Volterra equations with the extended Skorokhod stochastic integral without moment boundaries or with the extended Stratonovich integral, respectively. The sequence of smooth kernels \(\{ Q_{n}\}\) on \([0,1]^2\) is called an approximate unity if the corresponding sequence of integral operators in \(C_0([0,1])\) and \(L_2([0,1])\) strongly converges to the unit operator. In the Skorokhod case the author finds conditions under which the following assertion holds true: Equation (1) has a solution which is for every approximate unity \(\{ Q_{n}\}\) a limit in probability of solutions of integro-differential equations \[ x_{n}(t)=y(t)+\int_0^{t} K(t,s)x_{n}(t) \int_0^1 Q_{n}(s,\tau) dW(\tau) ds -\int_0^1 \int_0^1 K(t,s)Dx_{n}(s)(\tau) Q_{n}(s,\tau) d\tau ds, \] where the stochastic derivative of the random variable \(x_{n}(s)\) is denoted by \(Dx_{n}(s)(\cdot).\) In the Stratonovich case a similar assertion is proved too.
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