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Paracontrolled distribution approach to stochastic Volterra equations

Probability 2021-09-21 v2 Classical Analysis and ODEs Functional Analysis

Abstract

Based on the notion of paracontrolled distributions, we provide existence and uniqueness results for rough Volterra equations of convolution type with potentially singular kernels and driven by the newly introduced class of convolutional rough paths. The existence of such rough paths above a wide class of stochastic processes including the fractional Brownian motion is shown. As applications we consider various types of rough and stochastic (partial) differential equations such as rough differential equations with delay, stochastic Volterra equations driven by Gaussian processes and moving average equations driven by L\'evy processes.

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Cite

@article{arxiv.1812.05456,
  title  = {Paracontrolled distribution approach to stochastic Volterra equations},
  author = {David J. Prömel and Mathias Trabs},
  journal= {arXiv preprint arXiv:1812.05456},
  year   = {2021}
}

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39 pages