On the existence of weak solutions to stochastic Volterra equations (2207.01367v4)

Published 4 Jul 2022 in math.PR

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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