Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients

DOI10.1016/J.SPL.2007.10.007MaRDI QIDQ930078zbMATH OpenOpenAlexFDO

Authors Zhidong Wang

Publication date 19 June 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.10.007

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• Existence and uniqueness of solutions for a class of semilinear parabolic PDEs with non-Lipschitz coefficients
• scientific article; zbMATH DE number 1665391 (Why is no real title available?)
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3690402 (Why is no real title available?)
• scientific article; zbMATH DE number 1138278 (Why is no real title available?)
• On the uniqueness of solutions of stochastic differential equations
• Regularity properties of some stochastic Volterra integrals with singular kernel
• Stochastic Volterra equations with anticipating coefficients
• Stochastic Volterra equations with singular kernels
• Volterra equations driven by semimartingales

Cited in

(62)

• On the stability of -methods for stochastic Volterra integral equations
• Split-step collocation methods for stochastic Volterra integral equations
• Stochastic Volterra equations with singular kernels
• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
• Collocation methods for nonlinear stochastic Volterra integral equations
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
• Time fractional stochastic differential equations driven by pure jump Lévy noise
• A weak solution theory for stochastic Volterra equations of convolution type
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
• Inhomogeneous affine Volterra processes
• Euler-Maruyama scheme for Caputo stochastic fractional differential equations
• Asymptotic separation for stochastic Volterra integral equations with doubly singular kernels
• Paracontrolled distribution approach to stochastic Volterra equations
• Discrete-time simulation of stochastic Volterra equations
• Affine Volterra processes
• Stability issues for selected stochastic evolutionary problems: a review
• Global solutions to stochastic Volterra equations driven by Lévy noise
• Lévy-driven Volterra equations in space and time
• Regularity property of solutions to two-parameter stochastic Volterra equations with non-Lipschitz coefficients
• Existence, uniqueness and regularity for a class of semilinear stochastic Volterra equations with multiplicative noise
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• scientific article; zbMATH DE number 1665391 (Why is no real title available?)
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• On stochastic evolution equations with non-Lipschitz coefficients
• Existence and uniqueness of solutions for non-Lipschitz anticipating Volterra equations
• scientific article; zbMATH DE number 2094568 (Why is no real title available?)
• Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
• scientific article; zbMATH DE number 7578151 (Why is no real title available?)
• On solutions of neutral stochastic delay Volterra equations with singular kernels
• Rough Volterra equations. II: Convolutional generalized integrals
• Well-posedness and regularity for solutions of caputo stochastic fractional differential equations in L^p spaces
• Global solution to non-self-adjoint stochastic Volterra equation
• Regularity properties of some stochastic Volterra integrals with singular kernel
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
• Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
• Error distribution of the Euler approximation scheme for stochastic Volterra equations
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type
• One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients
• Stochastic Volterra equations with Hölder diffusion coefficients
• VIX pricing in the rBergomi model under a regime switching change of measure
• The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
• On the existence of weak solutions to stochastic Volterra equations
• Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
• Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies
• Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
• Well-posedness of stochastic evolution equations with Hölder continuous noise
• On the Kolmogorov equation associated with Volterra equations and fractional Brownian motion
• On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
• Mean square stability of numerical method for stochastic Volterra integral equations with double weakly singular kernels
• Well-posedness, regularity of solutions and the -Euler-Maruyama scheme for stochastic Volterra integral equations with general singular kernels and jumps
• Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noise
• Strong convergence of Lévy-driven mixed stochastic integro-differential equations with application to the rough mixed volatility models
• Path independence for the additive functionals of stochastic Volterra equations with singular kernels and Hölder continuous coefficients
• Wong-Zakai approximations for stochastic Volterra equations
• Polynomial Volterra processes
• Nonnegativity preserving convolution kernels. Application to stochastic Volterra equations in closed convex domains and their approximation
• Numerical analysis of stochastic Volterra equations with singular kernels via the Euler-Maruyama scheme and large deviations
• Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients
• Neural stochastic Volterra equations: learning path-dependent dynamics
• Convergence in Hölder norms for Markovian approximations of stochastic Volterra equations
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation

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