Acta mathematica scientia,Series B ›› 2020, Vol. 40 ›› Issue (6): 1989-2000.doi: 10.1007/s10473-020-0624-5

• Articles • Previous Articles    

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.

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

CLC Number: 

  • 60H20
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