ORCID: https://orcid.org/0000-0003-4069-1953
(2021):
Support characterization for regular path-dependent stochastic Volterra integral equations.
In: Electronic Journal of Probability, Vol. 26, 29
Abstract
We consider a stochastic Volterra integral equation with regular path-dependent coefficients and a Brownian motion as integrator in a multidimensional setting. Under an imposed absolute continuity condition, the unique solution is a semimartingale that admits almost surely Holder continuous paths. Based on functional Ito calculus, we prove that the support of its law in Holder norms can be described by a flow of mild solutions to ordinary integro-differential equations that are constructed by means of the vertical derivative of the diffusion coefficient.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 1083-6489 |
Language: | English |
Item ID: | 99353 |
Date Deposited: | 05. Jun 2023, 15:31 |
Last Modified: | 08. Aug 2024, 15:21 |