Related papers: A BDG inequality for stochastic Volterra integrals
In this paper, we first establish the existence, uniqueness and H\"older continuity of the solution to stochastic Volterra integral equations with weakly singular kernels. Then, we propose a $\theta$-Euler-Maruyama scheme and a Milstein…
Backward stochastic differential equations (BSDEs) belong nowadays to the most frequently studied equations in stochastic analysis and computational stochastics. In this paper we prove that Picard iterations of BSDEs with globally Lipschitz…
We prove uniqueness of self-similar profiles for the one-dimensional inelastic Boltzmann equation with moderately hard potentials, that is with collision kernel of the form | $\bullet$ | $\gamma$ for $\gamma$ > 0 small enough (explicitly…
We prove a new Burkholder-Rosenthal type inequality for discrete-time processes taking values in a 2-smooth Banach space. As a first application we prove that if $(S(t,s))_{0\leq s\leq T}$ is a $C_0$-evolution family of contractions on a…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
We prove the existence of weak solutions for distribution-dependent stochastic Volterra equations under linear growth and continuity conditions on the coefficients and mild regularity assumptions on the kernels, including singular kernels.…
For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations…
In this paper, we study a class of Type-II backward stochastic Volterra integral equations (BSVIEs). For the adapted M-solutions, we obtain two approximation results, namely, a BSDE approximation and a numerical approximation. The BSDE…
We study linear backward stochastic Volterra integral equations (BSVIEs) on the infinite time horizon. By introducing weighted function spaces with exponential decay, we establish existence and uniqueness of adapted M-solutions. We…
We present an expository account of the Bushell-Okrasi\'nski inequality, the motivation behind it, its history, and several generalizations. This inequality originally appeared in studies of nonlinear Volterra equations but very soon gained…
In this paper we study well posedness of a certain nonlinear Volterra-Fredholm dynamic integral and integro-dynamic equations on unbounded interval from arbitrary time scale. We derive the time scale analogue of certain integral…
The well-posedness is established for multi-dimensional mean-field stochastic Volterra equations with Lipschitz continuous coefficients and allowing for singular kernels as well as for one-dimensional mean-field stochastic Volterra…
We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the variance process is…
A theoretical, and potentially also practical, problem with stochastic gradient descent is that trajectories may escape to infinity. In this note, we investigate uniform boundedness properties of iterates and function values along the…
We provide a simple proof, as well as several generalizations, of a recent result by Davis and Suh, characterizing a class of continuous submartingales and supermartingales that can be expressed in terms of a squared Brownian motion and of…
We consider the stochastic integrals of multivariate point processes and study their concentration phenomena. In particular, we obtain a Bernstein type of concentration inequality through Dol\'eans-Dade exponential formula and a uniform…
In this paper we consider unbounded solutions of perturbed convolution Volterra summation equations. The equations studied are asymptotically sublinear, in the sense that the state--dependence in the summation is of smaller than linear…
The systems of nonlinear Volterra integral equations of the first kind with jump discontinuous kernels are studied. The iterative numerical method for such nonlinear systems is proposed. Proposed method employs the modified…
The initial value problem for a multivalued differential equation is studied, which is governed by the sum of a monotone, hemicontinuous, coercive operator fulfilling a certain growth condition and a Volterra integral operator in time of…
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…