The stochastic Leibniz formula for Volterra integrals under enlarged filtrations

DOI10.1080/15326349.2023.2173233MaRDI QIDQ6092933zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 23 November 2023

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2023.2173233

zbMATH Keywords

backward stochastic Volterra integral equation (BSVIE)Doléans-Dade exponentialdrift restrictionenlarged filtrationLévy processparameter integralstochastic differential equation (SDE)stochastic Leibniz formulaVolterra process/integral/equation

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

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Cited in

(2)

• Interest rate modeling with generalized Langevin equations
• On approximation for time-fractional stochastic diffusion equations on the unit sphere

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