Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

Yushi Hamaguchi

Stochastic Processes and their Applications, 2024, vol. 178, issue C

Abstract: We introduce a new framework of Markovian lifts of stochastic Volterra integral equations (SVIEs for short) with completely monotone kernels. We define the state space of the Markovian lift as a separable Hilbert space which incorporates the singularity or regularity of the kernel into the definition. We show that the solution of an SVIE is represented by the solution of a lifted stochastic evolution equation (SEE for short) defined on the Hilbert space and prove the existence, uniqueness and Markov property of the solution of the lifted SEE. Furthermore, we establish an asymptotic log-Harnack inequality and some consequent properties for the Markov semigroup associated with the Markovian lift via the asymptotic coupling method.

Keywords: Stochastic Volterra integral equation; Markovian lift; Asymptotic log-Harnack inequality (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104482

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