Stochastic Volterra equations with Hölder diffusion coefficients

DOI10.1016/J.SPA.2023.04.005arXiv2204.02648OpenAlexW4364375578MaRDI QIDQ6157004FDOQ6157004

David Scheffels, David J. Prömel

Publication date: 19 June 2023

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

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.

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)

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Cited In (4)

• One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients
• On the existence of weak solutions to stochastic Volterra equations
• Stochastic Volterra equations under perturbations
• Dynamics and absorption properties of stochastic equations with Hölder diffusion coefficients

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