Support characterization for regular path-dependent stochastic Volterra integral equations

DOI10.1214/20-EJP576MaRDI QIDQ2042796zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.10786

zbMATH Keywords

functional Itô calculusfunctional Volterra integral equationHölder spacepath-dependent Volterra processsupport of a measurevertical derivative

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We consider a stochastic Volterra integral equation with regular path-dependent coefficients and a Brownian motion as integrator in a multidimensional setting. Under an imposed absolute continuity condition, the unique solution is a semimartingale that admits almost surely H"older continuous paths. Based on functional It^o calculus, we prove that the support of its law in the H"older norm can be described by a flow of mild solutions to ordinary integro-differential equations that are constructed by means of the vertical derivative of the diffusion coefficient.

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Cites work

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• scientific article; zbMATH DE number 679781 (Why is no real title available?)
• scientific article; zbMATH DE number 3403582 (Why is no real title available?)
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Cited in

(8)

• On the support of solutions to stochastic differential equations with path-dependent coefficients
• Time-inconsistency with rough volatility
• Regularity properties of some stochastic Volterra integrals with singular kernel
• Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
• Rough differential equations with path-dependent coefficients
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• Stochastic Volterra equations with Hölder diffusion coefficients
• Wong-Zakai approximations and support theorems for SDEs under Lyapunov conditions

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