On the existence of weak solutions to stochastic Volterra equations
Probability
2023-11-21 v4
Abstract
The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented approach is based on a newly formulated local martingale problem associated to stochastic Volterra equations.
Keywords
Cite
@article{arxiv.2207.01367,
title = {On the existence of weak solutions to stochastic Volterra equations},
author = {David J. Prömel and David Scheffels},
journal= {arXiv preprint arXiv:2207.01367},
year = {2023}
}
Comments
13 pages