Rough Volterra equations. II: Convolutional generalized integrals
type: Item
instance of: scholarly article
title: Rough Volterra equations. II: Convolutional generalized integrals
zbMATH Open document ID: 1223.60031
author: A. Deya
author: S. Tindel
published in: Stochastic Processes and their Applications
publication date: 2011-07-22T00:00:00Z
full work available at URL: https://arxiv.org/abs/0810.1824
review text: There are defined and solved Volterra equations driven by non-differentiable signals, by means of a variant of the rough paths theory which allows to handle generalized integrals weighted by an exponential coefficient. The results apply to the convolutional Volterra equations which include the case of the fractional Brownian motion with Hurst index \(>1/3\). For Part I see [Stoch. Dyn. 9, No. 3, 437--477 (2009; Zbl 1181.60105)].
reviewed by: Constantin Vârsan
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 5930914
zbMATH Keywords: rough paths theory
zbMATH Keywords: stochastic Volterra equations
zbMATH Keywords: fractional Brownian motion
MaRDI profile type: Publication
OpenAlex ID: W2054920420
arXiv ID: 0810.1824
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DOI: 10.1016/J.SPA.2011.05.003
description: scientific article