Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations

DOI10.1080/07362994.2022.2075385MaRDI QIDQ6135040zbMATH OpenOpenAlexWikidataFDO

Authors Nguyen Tien Dung, Ta Cong Son

Publication date 25 July 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2022.2075385

zbMATH Keywords

Malliavin calculusfractional Brownian motionstochastic Volterra equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 3690402 (Why is no real title available?)
• Asymptotic stability analysis of a stochastic Volterra integro-differential equation with fading memory
• Continuity in the Hurst index of the local times of anisotropic Gaussian random fields
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
• Inequalities for differential and integral equations
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Long memory in a linear stochastic Volterra differential equation
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Statistical inference for fractional diffusion processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic integration with respect to Volterra processes
• The Malliavin Calculus and Related Topics
• The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter

Cited in

(5)

• Rate of convergence of the perturbed diffusion process to its unperturbed limit
• The rate of convergence for the Smoluchowski-Kramers approximation for stochastic differential equations with FBM
• Weak convergence of delay SDEs with applications to Carathéodory approximation
• Fisher information bounds and applications to SDEs with small noise
• Optimal total variation bounds for stochastic differential delay equations with small noises

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