Ramification of Volterra-type Rough Paths

DOI10.1214/22-EJP890MaRDI QIDQ6367114arXivFDO

Authors Yvain Bruned, Foivos Katsetsiadis

Publication date 7 May 2021

Published in arXiv

Full work available at URL https://doi.org/10.1214/22-EJP890

Mathematics Subject Classification ID

Rough paths (60L20) Regularity structures (60L30) Algebraic structures and computation (60L70)

arXiv classification

math.APmath.PRmath.RA

Abstract: We extend the new approach introduced in arXiv:1912.02064v2 [math.PR] and arXiv:2102.10119v1 [math.PR] for dealing with stochastic Volterra equations using the ideas of Rough Path theory and prove global existence and uniqueness results. The main idea of this approach is simple: Instead of the iterated integrals of a path comprising the data necessary to solve any equation driven by that path, now iterated integral convolutions with the Volterra kernel comprise said data. This leads to the corresponding abstract objects called Volterra-type Rough Paths, as well as the notion of the convolution product, an extension of the natural tensor product used in Rough Path Theory.

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