Rough Volterra equations. II: Convolutional generalized integrals (Q555028)
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English | Rough Volterra equations. II: Convolutional generalized integrals |
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Rough Volterra equations. II: Convolutional generalized integrals (English)
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22 July 2011
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There are defined and solved Volterra equations driven by non-differentiable signals, by means of a variant of the rough paths theory which allows to handle generalized integrals weighted by an exponential coefficient. The results apply to the convolutional Volterra equations which include the case of the fractional Brownian motion with Hurst index \(>1/3\). For Part I see [Stoch. Dyn. 9, No. 3, 437--477 (2009; Zbl 1181.60105)].
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rough paths theory
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stochastic Volterra equations
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fractional Brownian motion
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