Stochastic Volterra equations with Hölder diffusion coefficients

David J. Prömel and David Scheffels

Stochastic Processes and their Applications, 2023, vol. 161, issue C, 291-315

Abstract: The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally Hölder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the sample path regularity, the integrability and the semimartingale property of solutions to one-dimensional stochastic Volterra equations.

Keywords: Stochastic Volterra equation; Pathwise uniqueness; Non-Lipschitz coefficient; Semimartingale; Strong solution; Yamada–Watanabe theorem (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2023.04.005

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