Time reversal of Volterra processes driven stochastic differential equation

Authors :: Laurent Decreusefond
Télécom ParisTech
Laboratoire Traitement et Communication de l'Information (LTCI)
Télécom ParisTech-Institut Mines-Télécom [Paris] (IMT)-Centre National de la Recherche Scientifique (CNRS)
ANR-10-BLAN-0121,MASTERIE,Malliavin, Stein et Equations aléatoires à coefficients irréguliers(2010)
Source :: International Journal of Stochastic Analysis, Vol 2013 (2013), International Journal of Stochastic Analysis, International Journal of Stochastic Analysis, Hindawi, 2013, 2013, pp.13. ⟨10.1155/2013/790709⟩
Publication Year :: 2010
Abstract: We consider stochastic differential equations driven by some Volterra processes. Under time reversal, these equations are transformed into past dependent stochastic differential equations driven by a standard Brownian motion. We are then in position to derive existence and uniqueness of solutions of the Volterra driven SDE considered at the beginning.<br />International Journal of Stochastic Analysis (2013)

Language :: English
ISSN :: 20903340
Database :: OpenAIRE
Journal :: International Journal of Stochastic Analysis, Vol 2013 (2013), International Journal of Stochastic Analysis, International Journal of Stochastic Analysis, Hindawi, 2013, 2013, pp.13. ⟨10.1155/2013/790709⟩
Accession number :: edsair.doi.dedup.....4563db07356d7c3fc1b828b33fffa379

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