Rough Volterra equations. II: Convolutional generalized integrals
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Publication:555028
DOI10.1016/J.SPA.2011.05.003zbMATH Open1223.60031arXiv0810.1824OpenAlexW2054920420MaRDI QIDQ555028FDOQ555028
Publication date: 22 July 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory allowing to handle generalized integrals weighted by an exponential coefficient. The results are applied to the fractional Brownian motion with Hurst coefficient greater than 1/3
Full work available at URL: https://arxiv.org/abs/0810.1824
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Cited In (22)
- On the rough-paths approach to non-commutative stochastic calculus
- Perturbed linear rough differential equations
- Non-linear rough heat equations
- The extension of step-N signatures
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- Rough paths and SPDE
- Volterra equations driven by rough signals
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