On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients
arxiv(2024)
摘要
We consider one-dimensional stochastic Volterra equations with jumps for
which we establish conditions upon the convolution kernel and coefficients for
the strong existence and pathwise uniqueness of a non-negative càdlàg
solution. By using the approach recently developed in arXiv:2302.07758, we show
the strong existence by using a nonnegative approximation of the equation whose
convergence is proved via a variant of the Yamada–Watanabe approximation
technique. We apply our results to Lévy-driven stochastic Volterra equations.
In particular, we are able to define a Volterra extension of the so-called
alpha-stable Cox–Ingersoll–Ross process, which is especially used for
applications in Mathematical Finance.
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