[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística - Sergio Pulido (ENSIIE, Francia)

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Seminario de Probabilidad y Estadística
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Título: "Stochastic Volterra equations."

Expositor: Sergio Pulido (ENSIIE, Francia)

Resumen:
 
We obtain general weak existence and stability results for Stochastic Volterra
Equations (SVEs) with jumps under mild regularity assumptions, allowing for non-
Lipschitz coefficients and singular kernels. The motivation to study SVEs comes
from the literature on rough volatility models. Our approach relies on weak
convergence in $L^p$ spaces. The main tools are new a priori estimates on
Sobolev-Slobodeckij norms of the solution, as well as a novel martingale problem
that is equivalent to the original equation. This leads to generic approximation
and stability theorems in the spirit of classical martingale problem theory. To
illustrate the applicability of our results, we consider scaling limits of
nonlinear Hawkes processes and approximations of stochastic Volterra processes
by Markovian semimartingales.
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Viernes 23/6 a las 10:30, zoom

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
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Link:

https://salavirtual-
udelar.zoom.us/j/88544669179?pwd=UlBHdWRWdEZVMGw0akpPeEd0VWJzZz09

Página del    seminario : https://pye.cmat.edu.uy/ seminario

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Canal de youtube: https://www.youtube.com/channel/UCOPZEOrLSAYPz2qCAL-KqMg/about
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