Time Reversal of Volterra Processes Driven Stochastic Differential Equations

L. Decreusefond

International Journal of Stochastic Analysis, 2013, vol. 2013, 1-13

Abstract:

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:790709

DOI: 10.1155/2013/790709

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