ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

doi:10.1007/s10473-020-0624-5

数学物理学报(英文版) ›› 2020, Vol. 40 ›› Issue (6): 1989-2000.doi: 10.1007/s10473-020-0624-5

• 论文 • 上一篇

ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

Nguyen Tien DUNG^1,2

1. Division of Computational Mathematics and Engineering, Institute for Computational Science, Ton Duc Thang University, Ho Chi Minh City, Vietnam;
2. Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City, Vietnam

收稿日期:2018-11-07 修回日期:2020-05-12 出版日期:2020-12-25 发布日期:2020-12-30
作者简介:Nguyen Tien DUNG,E-mail:nguyentiendung@tdtu.edu.vn
基金资助:
This research was funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under grant number 101.03-2019.08.

ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

Nguyen Tien DUNG^1,2

1. Division of Computational Mathematics and Engineering, Institute for Computational Science, Ton Duc Thang University, Ho Chi Minh City, Vietnam;
2. Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City, Vietnam

Received:2018-11-07 Revised:2020-05-12 Online:2020-12-25 Published:2020-12-30
Supported by:
This research was funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under grant number 101.03-2019.08.

摘要/Abstract

摘要： 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.

关键词: stochastic integral equation, Itô formula, central limit theorem

Abstract: 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.

Key words: stochastic integral equation, Itô formula, central limit theorem

中图分类号:

60H20

Nguyen Tien DUNG. ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS[J]. 数学物理学报(英文版), 2020, 40(6): 1989-2000.

Nguyen Tien DUNG. ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS[J]. Acta mathematica scientia,Series B, 2020, 40(6): 1989-2000.

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ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

ITÔ DIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

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