Rough Volterra equations 2: Convolutional generalized integrals

We define and solve Volterra equations driven by a non-differentiable signal, by means of a variant of the rough paths theory which allows us to handle generalized integrals weighted by an exponential coefficient. The results are applied to a standard rough path , with [gamma]>1/3, which includes the case of fractional Brownian motion with Hurst index H>1/3.

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Year of publication:	2011
Authors:	Deya, Aurélien ; Tindel, Samy
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 8, p. 1864-1899
Publisher:	Elsevier
Keywords:	Rough paths theory Stochastic Volterra equations Fractional Brownian motion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146662