Itô Differential Representation of Singular Stochastic Volterra Integral Equations

Abstract

In this paper we obtain an Itô differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence in the small time central limit theorem for the solution.

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Correspondence to Nguyen Tien Dung.

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This research was funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under grant number 101.03-2019.08.

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Dung, N.T. Itô Differential Representation of Singular Stochastic Volterra Integral Equations. Acta Math Sci 40, 1989–2000 (2020). https://doi.org/10.1007/s10473-020-0624-5

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Key words

  • stochastic integral equation
  • Itô formula
  • central limit theorem

2010 MR Subject Classification

  • 60H20
  • 60F05