Stochastic Volterra Equations with Singular Kernels

By Laure Coutin, Laurent Decreusefond. 2001

53 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/b2c93cbd67bc014d4688a7d9e5b8933ec3b5ccb3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Eduardo Abi Jaber
2. Sergio Pulido
3. Christa Cuchiero
4. Martin Larsson

In Finance

1. Eduardo Abi Jaber
2. Christa Cuchiero
3. Martin Larsson
4. Sergio Pulido
5. Omar El Euch

In Modeling and Simulation

1. Eduardo Abi Jaber
2. Sergio Pulido
3. Christa Cuchiero
4. Martin Larsson

Citations in the corpus

• A regularity structure for rough volatility (2017, unknown): “Equation (55) fits, with some good will, into the existing theory of stochastic Volterra equations with singular kernels (e.g., Pardoux & Protter, 1990 or Coutin & Decreusefond, 2001).8”
• A weak solution theory for stochastic Volterra equations of convolution type (2019, background): “nts that are just continuous functions without any Lipschitz-type regularity. Such examples fall outside the scope of classical theory, such as the results of Berger and Mizel (1980); Protter (1985); Coutin and Decreusefond (2001); Wang (2008); Zhang (2010). This motivated the work of Abi Jaber et a”