Existence and uniqueness of solutions is established for stochastic Volterra integral equations driven by right continuous semimartingales. This resolves (in the affirmative) a conjecture of M. Berger and V. Mizel.
Publié le : 1985-05-14
Classification:
Volterra integral equations,
stochastic integral equations,
semimartingale,
stochastic integration,
60H20,
60H05
@article{1176993006,
author = {Protter, Philip},
title = {Volterra Equations Driven by Semimartingales},
journal = {Ann. Probab.},
volume = {13},
number = {4},
year = {1985},
pages = { 519-530},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993006}
}
Protter, Philip. Volterra Equations Driven by Semimartingales. Ann. Probab., Tome 13 (1985) no. 4, pp. 519-530. http://gdmltest.u-ga.fr/item/1176993006/