Anticipating stochastic Volterra equations
| Autor: | David Nualart, Elisa Alòs |
|---|---|
| Rok vydání: | 1997 |
| Předmět: |
Statistics and Probability
Càlcul de Malliavin Universitat de Barcelona. Institut de Matemàtica Applied Mathematics Mathematical analysis Volterra equations Malliavin calculus Volterra integral equation Equacions integrals estocàstiques symbols.namesake Modelling and Simulation Modeling and Simulation Filtration (mathematics) symbols Interval (graph theory) Uniqueness Differentiable function Brownian motion Mathematics |
| Zdroj: | Dipòsit Digital de la UB Universidad de Barcelona Scopus-Elsevier |
| ISSN: | 0304-4149 |
| DOI: | 10.1016/s0304-4149(97)00075-6 |
| Popis: | In this paper we establish the existence and uniqueness of a solution for stochastic Volterra equations assuming that the coefficients F ( t , s , x ) and G i ( t , s , x ) are F t -measurable, for s ⩽ t , where { F t } denotes the filtration generated by the driving Brownian motion. We impose some differentiability assumptions on the coefficients, in the sense of the Malliavin calculus, in the time interval [ s , t ]. Some properties of the solution are discussed. |
| Databáze: | OpenAIRE |
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