On the existence of weak solutions to stochastic Volterra equations

David J. Prömel; David Scheffels

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arXiv · 2207.01367

On the existence of weak solutions to stochastic Volterra equations

David J. Prömel·David Scheffels

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Abstract

The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented approach is based on a newly formulated local martingale problem associated to stochastic Volterra equations.

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David J. Prömel, David Scheffels. 2022-07-04. On the existence of weak solutions to stochastic Volterra equations. https://arxiv.org/abs/2207.01367

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