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

DOI10.1142/S0219493723500028MaRDI QIDQ5887744FDOQ5887744

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

Recommendations

• Volterra equations driven by rough signals
• ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING
• Paracontrolled distribution approach to stochastic Volterra equations
• Ramification of Volterra-type rough paths
• Rough Volterra equations. II: Convolutional generalized integrals

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)

Cites Work

• Title not available (Why is that?)
• A course on rough paths. With an introduction to regularity structures
• Ramification of rough paths
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation
• Geometric versus non-geometric rough paths
• Volatility is rough
• ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING
• Rough Volterra equations. II: Convolutional generalized integrals
• Volterra equations driven by rough signals
• The characteristic function of rough Heston models
• Ambit stochastics
• High order paracontrolled calculus
• A regularity structure for rough volatility
• Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
• Paracontrolled distribution approach to stochastic Volterra equations
• Ramification of Volterra-type rough paths

Cited In (5)

• 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
• Rough Volterra equations. II: Convolutional generalized integrals
• Rough differential equations driven by signals in Besov spaces
• Volterra equations driven by rough signals

This page was built for publication: Volterra equations driven by rough signals 2: Higher-order expansions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5887744)