Quotation Benth, Fred Espen, Detering, Nils, Eisenberg, Paul. 2022. Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations. Stochastics. 94


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Abstract

We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued Lévy noise and integration kernels may have non-linear dependence on the current state of the process. Our method is based on an embedding into a Hilbert space of functions which allows to represent the solution of the Volterra equation as the boundary value of a solution to a stochastic partial differential equation. We first gather abstract results and give more detailed conditions in more specific function spaces.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Stochastics
Citation Index SCI
Language English
Title Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
Volume 94
Year 2022
Reviewed? Y
URL https://www.tandfonline.com/doi/full/10.1080/17442508.2021.2019738
DOI https://doi.org/10.1080/17442508.2021.2019738
Open Access N

Associations

People
Eisenberg, Paul (Details)
External
Benth, Fred Espen (University of Oslo, Norway)
Detering, Nils (University of California, Santa Barbara, United States/USA)
Organization
Institute for Statistics and Mathematics IN (Details)
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