Rough Volterra equations. II: Convolutional generalized integrals (Q555028)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Rough Volterra equations. II: Convolutional generalized integrals |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Rough Volterra equations. II: Convolutional generalized integrals |
scientific article |
Statements
Rough Volterra equations. II: Convolutional generalized integrals (English)
0 references
22 July 2011
0 references
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)].
0 references
rough paths theory
0 references
stochastic Volterra equations
0 references
fractional Brownian motion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8923115134239197
0 references
0.8696016669273376
0 references
0.850348174571991
0 references
0.8475589752197266
0 references
