The stochastic Leibniz formula for Volterra integrals under enlarged filtrations

DOI10.1080/15326349.2023.2173233OpenAlexW4322743270WikidataQ123346961 ScholiaQ123346961MaRDI QIDQ6092933FDOQ6092933

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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

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zbMATH Keywords

stochastic differential equation (SDE)enlarged filtrationparameter integralLévy processDoléans-Dade exponentialbackward stochastic Volterra integral equation (BSVIE)drift restrictionstochastic Leibniz formulaVolterra process/integral/equation

Mathematics Subject Classification ID

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

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Cited In (2)

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

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