Stochastic Volterra equations with Hölder diffusion coefficients

DOI10.1016/J.SPA.2023.04.005MaRDI QIDQ6157004OpenAlexFDO

Authors David J. Prömel, David Scheffels

Publication date 19 June 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.02648

zbMATH Keywords

semimartingalestrong solutionpathwise uniquenessstochastic Volterra equationYamada-Watanabe theoremnon-Lipschitz coefficient

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integral equations (60H20)

Abstract: The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally H{"o}lder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the sample path regularity, the integrability and the semimartingale property of solutions to one-dimensional stochastic Volterra equations.

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Cited in

(6)

• Stochastic Volterra equations for the local times of spectrally positive stable processes
• One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type
• Stochastic Volterra equations under perturbations
• On the existence of weak solutions to stochastic Volterra equations
• Dynamics and absorption properties of stochastic equations with Hölder diffusion coefficients

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