Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
نویسندگان
چکیده
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with L1-kernels jumps. Such arise as scaling limits of branching processes in population genetics self-exciting Hawkes mathematical finance. The strategy we adopt the existence part is based on approximations using L2-kernels combined a general result. Most importantly, establish weak duality argument Fourier–Laplace transform via deterministic Riccati–Volterra integral equation. illustrate applicability our class hyper-rough Heston models Hurst index H?(?1/2,1/2].
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2021
ISSN: ['1573-9759', '1350-7265']
DOI: https://doi.org/10.3150/20-bej1284