Pré-Publication, Document De Travail Année : 2025

Weak solutions of stochastic volterra equations in convex domains with general kernels

Résumé

We establish new weak existence results for d-dimensional Stochastic Volterra Equations (SVEs) with continuous coefficients and possibly singular one-dimensional nonconvolution kernels. These results are obtained by introducing an approximation scheme and showing its convergence. A particular emphasis is made on the stochastic invariance of the solution in a closed convex set. To do so, we extend the notion of kernels that preserve nonnegativity introduced in Alfonsi (2025) to non-convolution kernels and show that, under suitable stochastic invariance property of a closed convex set by the corresponding Stochastic Differential Equation, there exists a weak solution of the SVE that stays in this convex set. We present a family of non-convolution kernels that satisfy our assumptions, including a nonconvolution extension of the well-known fractional kernel. We apply our results to SVEs with square-root diffusion coefficients and non-convolution kernels, for which we prove the weak existence and uniqueness of a solution that stays within the nonnegative orthant. We derive a representation of the Laplace transform in terms of a non-convolution Riccati equation, for which we establish an existence result.

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Dates et versions

hal-05100416 , version 1 (06-06-2025)

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Eduardo Abi Jaber, Aurélien Alfonsi, Guillaume Szulda. Weak solutions of stochastic volterra equations in convex domains with general kernels. 2025. ⟨hal-05100416v1⟩
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