Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises

DOI10.1007/978-3-031-17820-7_14arXiv2008.10854OpenAlexW3080774146MaRDI QIDQ6193451FDOQ6193451

Authors: Giulia Di Nunno, Yuliya S. Mishura, K. V. Ral'chenko 

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We study the existence and uniqueness of solutions to stochastic differential equations with Volterra processes driven by L'evy noise. For this purpose, we study in detail smoothness properties of these processes. Special attention is given to two kinds of Volterra-Gaussian processes that generalize the compact interval representation of fractional Brownian motion and to stochastic equations with such processes.

Full work available at URL: https://arxiv.org/abs/2008.10854

zbMATH Keywords

Gaussian processcontinuitystrong solutionweak solutionVolterra processLévy processHölder propertySonine pair

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (1)

• Harnack inequalities for functional SDEs driven by subordinate Volterra-Gaussian processes

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