Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations

Abstract

Abstract The problem of investigating the continuity in the Hurst index arises naturally in statistical inferences related to fractional Brownian motion. In this paper, based on the techniques of the Malliavin calculus, we introduce a method to deal with this problem. We first provide an explicit bound on the difference between two non-smooth functionals of Malliavin differentiable random variables. Then, we apply the obtained bound to show Lipchitz continuity of fractional stochastic Volterra integro-differential equations and its additive functionals.