Time reversal of Volterra processes driven stochastic differential equations

DOI10.1155/2013/790709zbMATH Open1268.60085arXiv1008.2850OpenAlexW2008759637WikidataQ58993623 ScholiaQ58993623MaRDI QIDQ1952467FDOQ1952467

Laurent Decreusefond

Publication date: 31 May 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1008.2850

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zbMATH Keywords

existence and uniqueness of solutionsVolterra driven SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (1)

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