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Regularity Properties of Some Stochastic Volterra Integrals with Singular Kernel

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Abstract

We prove the Hölder continuity of some stochastic Volterra integrals, with singular kernels, under integrability assumptions on the integrand. Some applications to processes arising in the analysis of the fractional Brownian motion are given. The main tool is the embedding of some Besov spaces into some sets of Hölder continuous functions.

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  1. École Nationale Supérieure des Télécommunications, Networks Departement, 46 Rue Barrault, 75634, Paris, France

    L. Decreusefond

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  1. L. Decreusefond
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Decreusefond, L. Regularity Properties of Some Stochastic Volterra Integrals with Singular Kernel. Potential Analysis 16, 139–149 (2002). https://doi.org/10.1023/A:1012628013041

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  • DOI: https://doi.org/10.1023/A:1012628013041

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