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Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures by Huber, Florian is a scholarly article available to read on EtoBox.

What is Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures about?

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.

Author

Huber, Florian

Published

2024

Language

EN