On the existence of weak solutions to stochastic Volterra equations

DOI10.1214/23-ECP554MaRDI QIDQ6177618zbMATH OpenOpenAlexFDO

Authors 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

local martingale problemnon-Lipschitz coefficientssingular kernelstochastic Volterra equationweak existence

Mathematics Subject Classification ID

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

Abstract: The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented approach is based on a newly formulated local martingale problem associated to stochastic Volterra equations.

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Cited in

(7)

• Weak solutions to gamma-driven stochastic differential equations
• Stochastic Volterra equations with Hölder diffusion coefficients
• Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
• Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noise
• Existence of optimal controls for stochastic Volterra equations
• Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients
• Neural stochastic Volterra equations: learning path-dependent dynamics

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