Volterra Equations Driven by Semimartingales
Copyright policy )Volterra Equations Driven by Semimartingales
In modelling systems corrupted by noise, stochastic integral equations of Volterra type arise. \textit{M. A. Berger} and \textit{V. J. Mizel} [J. Integral Equations 2, 187-245 and 319-337 (1980; Zbl 0442.60064 and Zbl 0452.60073, resp.)] handled the white noise case and conjectured that their results could be extended to the case when Brownian motion is replaced by right continuous semimartingales. The author obtains an existence and uniqueness theorem for these Volterra equations, thereby establishing the Berger-Mizel conjecture.
Generalizations of martingales, Volterra integral equations, Stochastic integrals, semimartingale, stochastic integral equations, stochastic integral equations of Volterra type, Singular integral equations, Stochastic integral equations, existence and uniqueness theorem, 60H05, stochastic integration, 60H20
Generalizations of martingales, Volterra integral equations, Stochastic integrals, semimartingale, stochastic integral equations, stochastic integral equations of Volterra type, Singular integral equations, Stochastic integral equations, existence and uniqueness theorem, 60H05, stochastic integration, 60H20
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