Time reversal of Volterra processes driven stochastic differential equation - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Time reversal of Volterra processes driven stochastic differential equation

Résumé

We consider stochastic differential equations driven by some Volterra processes. Under time reversal, these equations are transformed into past dependent stochastic differential equations driven by a standard Brownian motion. We are then in position to derive existence and uniqueness of solutions of the Volterra driven SDE considered at the beginning.
Fichier principal
Vignette du fichier
reversal2.pdf (280.22 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00509900 , version 1 (17-08-2010)
hal-00509900 , version 2 (21-12-2012)

Identifiants

Citer

Laurent Decreusefond. Time reversal of Volterra processes driven stochastic differential equation. 2010. ⟨hal-00509900v1⟩
228 Consultations
261 Téléchargements

Altmetric

Partager

More