Rough Volterra equations 2: Convolutional generalized integrals

Aurélien Deya and Samy Tindel

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1864-1899

Abstract: 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.

Keywords: Rough; paths; theory; Stochastic; Volterra; equations; Fractional; Brownian; motion (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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