Regularity of stochastic Volterra equations by functional calculus methods

Title

Regularity of stochastic Volterra equations by functional calculus methods

 Author

Schnaubelt, Roland (Karlsruhe Institut für Technologie)
Veraar, M.C. (TU Delft Analysis) ORCID 0000-0003-3167-7471

 Date

2016

 Abstract

We establish pathwise continuity properties of solutions to a stochastic Volterra equation with an additive noise term given by a local martingale. The deterministic part is governed by an operator with an H∞-calculus and a scalar kernel. The proof relies on the dilation theorem for positive definite operator families on a Hilbert space.

 Subject

Stochastic Volterra equation
Pathwise continuity
Local martingale
Dilation
H∞-calculus

 To reference this document use:

http://resolver.tudelft.nl/uuid:a2c6ea59-f331-43a1-aeec-bc56b427c887

 DOI

https://doi.org/10.1007/s00028-016-0365-z

 ISSN

1424-3199

 Source

Journal of Evolution Equations, 1-14

 Part of collection

Institutional Repository

 Document type

journal article

 Rights

© 2016 Roland Schnaubelt, M.C. Veraar
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