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

DOI10.1080/07362994.2022.2075385zbMATH Open1515.60243OpenAlexW4293063597WikidataQ115297105 ScholiaQ115297105MaRDI QIDQ6135040FDOQ6135040

Ta Cong Son, Nguyen Tien Dung

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

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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)

Cites Work

• The Malliavin Calculus and Related Topics
• Inequalities for differential and integral equations
• Stochastic calculus for fractional Brownian motion and related processes.
• Integration with respect to fractal functions and stochastic calculus. I
• Statistical Inference for Fractional Diffusion Processes
• Stochastic integration with respect to Volterra processes
• Title not available (Why is that?)
• Long memory in a linear stochastic Volterra differential equation
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
• Continuity in the Hurst index of the local times of anisotropic Gaussian random fields
• Title not available (Why is that?)
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter

Cited In (5)

• Weak convergence of delay SDEs with applications to Carathéodory approximation
• The rate of convergence for the Smoluchowski-Kramers approximation for stochastic differential equations with FBM
• Rate of convergence of the perturbed diffusion process to its unperturbed limit
• 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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