Time Reversal of Volterra Processes Driven Stochastic Differential Equations | Zendy

Laurent Decreusefond | Zendy

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Time Reversal of Volterra Processes Driven Stochastic Differential Equations

Author(s) -

Laurent Decreusefond

Publication year - 2013

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2013/790709

Subject(s) - mathematics , uniqueness , stochastic differential equation , brownian motion , volterra equations , volterra integral equation , differential equation , stochastic partial differential equation , position (finance) , geometric brownian motion , mathematical analysis , nonlinear system , diffusion process , integral equation , computer science , statistics , physics , knowledge management , innovation diffusion , finance , quantum mechanics , economics

International audienceWe 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

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