Time reversal of Volterra processes driven stochastic differential equations (Q1952467)
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scientific article
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| English | Time reversal of Volterra processes driven stochastic differential equations |
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Time reversal of Volterra processes driven stochastic differential equations (English)
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31 May 2013
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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.
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Volterra driven SDE
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existence and uniqueness of solutions
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0.90761566
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0.9057899
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