Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866916652048711680 |
|---|---|
| author | Huber, Florian |
| author_facet | Huber, Florian |
| contents | We investigate Markovian lifts of stochastic Volterra equations (SVEs) with completely monotone kernels and general coefficients within a class of weighted Sobolev spaces. Our primary focus is developing a comprehensive solution theory for a class of non-local stochastic evolution equations (SEEs) encompassing these Markovian lifts. This enables us to provide conditions for the existence of invariant measures for the lifted processes and the corresponding SVE. Another key contribution is an Ito-type formula for the stochastic Volterra equations under consideration. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_10352 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures Huber, Florian Probability We investigate Markovian lifts of stochastic Volterra equations (SVEs) with completely monotone kernels and general coefficients within a class of weighted Sobolev spaces. Our primary focus is developing a comprehensive solution theory for a class of non-local stochastic evolution equations (SEEs) encompassing these Markovian lifts. This enables us to provide conditions for the existence of invariant measures for the lifted processes and the corresponding SVE. Another key contribution is an Ito-type formula for the stochastic Volterra equations under consideration. |
| title | Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures |
| topic | Probability |
| url | https://arxiv.org/abs/2406.10352 |