On the existence of weak solutions to stochastic Volterra equations

DOI10.1214/23-ecp554arXiv2207.01367OpenAlexW4388678067MaRDI QIDQ6177618

David J. Prömel, David Scheffels

Publication date: 17 January 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.01367

zbMATH Keywords

stochastic Volterra equationsingular kernelnon-Lipschitz coefficientslocal martingale problemweak existence

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak and strong solutions of general stochastic models
• Discretization of processes.
• Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• A weak solution theory for stochastic Volterra equations of convolution type
• Affine Volterra processes
• Stochastic Analysis and Diffusion Processes
• The stochastic Fubini theorem revisited
• Real Analysis and Probability
• Multifactor Approximation of Rough Volatility Models
• The characteristic function of rough Heston models
• Stochastic Volterra equations with Hölder diffusion coefficients

This page was built for publication: On the existence of weak solutions to stochastic Volterra equations