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
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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
- Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
- The extension of step-N signatures
- Existence and smoothness of the density of the solution to fractional stochastic integral Volterra equations
- Paracontrolled distribution approach to stochastic Volterra equations
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions
- Skorohod and Stratonovich integrals for controlled processes
- Malliavin calculus for fractional delay equations
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- One-dimensional reflected rough differential equations
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING
- Semilinear fractional stochastic differential equations driven by a \(\gamma\)-Hölder continuous signal with \(\gamma > 2/3\)
- Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions
- Volterra equations driven by rough signals 2: Higher-order expansions
- Ramification of Volterra-type rough paths
- Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
- Rough paths and SPDE
- Volterra equations driven by rough signals
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