Volterra equations driven by rough signals 2: Higher-order expansions

DOI10.1142/S0219493723500028MaRDI QIDQ5887744zbMATH OpenFDO

Authors Fabian A. Harang, S. Tindel, Xiaohua Wang

Publication date 13 April 2023

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.10119

zbMATH Keywords

rough path theoryregularity structuressingular integral equationsVolterra equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Singular nonlinear integral equations (45G05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Random integral equations (45R05) Stochastic integral equations (60H20) Rough paths (60L20) Integral equations with miscellaneous special kernels (45H05) Regularity structures (60L30) Algebraic structures and computation (60L70)

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Cites work

• scientific article; zbMATH DE number 432962 (Why is no real title available?)
• A course on rough paths. With an introduction to regularity structures
• A regularity structure for rough volatility
• Ambit stochastics
• Geometric versus non-geometric rough paths
• High order paracontrolled calculus
• Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
• Paracontrolled distribution approach to stochastic Volterra equations
• ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING
• Ramification of Volterra-type rough paths
• Ramification of rough paths
• Rough Volterra equations. II: Convolutional generalized integrals
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation
• The characteristic function of rough Heston models
• Volatility is rough
• Volterra equations driven by rough signals

Cited in

(6)

• Cubature Method for Stochastic Volterra Integral Equations
• Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions
• Volterra equations driven by rough signals 2: higher order expansions
• Rough Volterra equations. II: Convolutional generalized integrals
• Rough differential equations driven by signals in Besov spaces
• Volterra equations driven by rough signals

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