Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
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DOI: 10.3150/20-bej1284
Abstract: We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels and jumps. Such equations arise as scaling limits of branching processes in population genetics and self-exciting Hawkes processes in mathematical finance.… read more here.
Keywords: equations kernels; volterra; volterra equations; existence uniqueness ... See more keywords