Rough Volterra equations. II: Convolutional generalized integrals
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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
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)].
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Cited in
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