A generalized mean-reverting equation and applications

DOI10.1051/PS/2014002MaRDI QIDQ5174381zbMATH OpenOpenAlexFDO

Authors Nicolas Marie

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.1165

zbMATH Keywords

Gaussian processeslarge deviation principlemean-reversionrough pathsstochastic differential equations

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with H"older continuous paths on $[0,T]$ ($T>0$). Taking that equation in rough paths sense only gives local existence of the solution because the non-explosion condition is not satisfied in general. Under natural assumptions, by using specific methods, we show the global existence and uniqueness of the solution, its integrability, the continuity and differentiability of the associated It^o map, and we provide an $L^p$-converging approximation with a rate of convergence ($pgeq1$). The regularity of the It^o map ensures a large deviation principle, and the existence of a density with respect to the Lebesgue measure, for the solution of that generalized mean-reverting equation. Finally, we study a generalized mean-reverting pharmacokinetic model.

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