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math.PR2025
Kolmogorov equations for stochastic Volterra processes with singular kernels
Ioannis Gasteratos, Alexandre Pannier
We associate backward and forward Kolmogorov equations to a class of fully nonlinear Stochastic Volterra Equations (SVEs) with convolution kernels that are singular at the orig…
math.PR2025
A BDG inequality for stochastic Volterra integrals
Alexandre Pannier
We establish Burkholder-Davis-Gundy-type inequalities for stochastic Volterra integrals with a completely monotone convolution kernel, which may exhibit singular behaviour at the o…