A weak solution theory for stochastic Volterra equations of convolution type-Reference-Cited by-同舟云学术

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A weak solution theory for stochastic Volterra equations of convolution type

Published:2021-12-01 Issue:6 Volume:31 Page:
ISSN:1050-5164
Container-title:The Annals of Applied Probability
language:
Short-container-title:Ann. Appl. Probab.

Author:

Abi Jaber Eduardo¹,Cuchiero Christa²,Larsson Martin³,Pulido Sergio⁴

Affiliation:

1. Centre d’Economie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne

2. Department of Statistics and Operations Research and Data Science, University of Vienna

3. Department of Mathematical Sciences, Carnegie Mellon University

4. Laboratoire de Mathématiques et Modélisation d’Évry, Université Paris-Saclay, CNRS, ENSIIE, Univ Évry

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

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1. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations;Stochastic Processes and their Applications;2024-12

2. Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients;Stochastics and Partial Differential Equations: Analysis and Computations;2024-08-14

3. Stochastic Volterra equations for the local times of spectrally positive stable processes;The Annals of Applied Probability;2024-06-01

4. The rough Hawkes Heston stochastic volatility model;Mathematical Finance;2024-03-02

5. Affine Volterra processes with jumps;Stochastic Processes and their Applications;2024-02

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