Time reversal of Volterra processes driven stochastic differential equations (Q1952467): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 17:26, 1 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Time reversal of Volterra processes driven stochastic differential equations |
scientific article |
Statements
Time reversal of Volterra processes driven stochastic differential equations (English)
0 references
31 May 2013
0 references
Summary: 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.
0 references
Volterra driven SDE
0 references
existence and uniqueness of solutions
0 references