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 DUNG1,2   

  1. 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 DUNG1,2   

  1. 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: 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