Convolution-type stochastic Volterra equations with additive fractional Brownian motion in Hilbert space

Caithamer, Peter; Karczewska, Anna

Convolution-type stochastic Volterra equations with additive fractional Brownian motion in Hilbert space

Authors

Description

We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the stochastic convolution, which we show to be mean-zero Gaussian. We develop an Itô isometry for stochastic integrals with respect to a Hilbert-valued fractional Brownian motion, and use it to compute the covariance of the stochastic convolution. This formula, which uses fractional integrals and derivatives, generalizes the well-known formula from the case $H=1/2$.
12 pages