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One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients

Author

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  • Jie, Lijuan
  • Luo, Liangqing
  • Zhang, Hua

Abstract

In this paper, based on the tool of Yamada–Watanabe approximation technique, the well-posedness for solutions to one-dimensional McKean–Vlasov stochastic Volterra equations and the rate of the associated propagation of chaos in the sense of Wasserstein distance are established when the diffusion coefficients are Hölder continuous.

Suggested Citation

  • Jie, Lijuan & Luo, Liangqing & Zhang, Hua, 2024. "One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 205(C).
    • Handle: RePEc:eee:stapro:v:205:y:2024:i:c:s0167715223001943
    DOI: 10.1016/j.spl.2023.109970
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    References listed on IDEAS

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    1. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Post-Print hal-02412741, HAL.
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    10. Eduardo Abi Jaber, 2021. "Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02412741, HAL.
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