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Itô Differential Representation of Singular Stochastic Volterra Integral Equations

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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.

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Authors and Affiliations

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

    Nguyen Tien Dung

  2. Faculty of Mathematics and Statistics, Ton Duc Thang University, Ho Chi Minh City, Vietnam

    Nguyen Tien Dung

Authors
  1. Nguyen Tien Dung
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Correspondence to Nguyen Tien Dung.

Additional information

This research was funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under grant number 101.03-2019.08.

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Dung, N.T. Itô Differential Representation of Singular Stochastic Volterra Integral Equations. Acta Math Sci 40, 1989–2000 (2020). https://doi.org/10.1007/s10473-020-0624-5

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  • DOI: https://doi.org/10.1007/s10473-020-0624-5

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