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.
Keywords
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