Volterra differential equations with singular kernels

arXiv1703.08395MaRDI QIDQ6284764FDOQ6284764

Authors: L. Coutin, Laurent Decreusefond 

Publication date: 24 March 2017

Abstract: Motivated by the potential applications to the fractional Brownianmotion, we study Volterra stochasticdifferential of the form~:�egin{equation}X_t = x+ int_0^tK(t,s)b(s,X_s)ds + int_0^tK(t,s) sigma(s,X_s),dB_s , ag{E} label{eq:sdefbm}end{equation}where $(B_s,,sin[0,1])$ is a one-dimensional standard Brownianmotion and $(K(t,s),,t,sin[0,1])$ is a deterministic kernelwhose properties will be precised below but for which we don't assumeany boundedness property.

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