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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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
- stochastic integral equation
- Itô formula
- central limit theorem
2010 MR Subject Classification