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Stochastic Volterra equations with Hölder diffusion coefficients

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  • Prömel, David J.
  • Scheffels, David

Abstract

The existence of strong solutions and pathwise uniqueness are established for one-dimensional stochastic Volterra equations with locally Hölder continuous diffusion coefficients and sufficiently regular kernels. Moreover, we study the sample path regularity, the integrability and the semimartingale property of solutions to one-dimensional stochastic Volterra equations.

Suggested Citation

  • Prömel, David J. & Scheffels, David, 2023. "Stochastic Volterra equations with Hölder diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 291-315.
    • Handle: RePEc:eee:spapps:v:161:y:2023:i:c:p:291-315
    DOI: 10.1016/j.spa.2023.04.005
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    References listed on IDEAS

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