pith. sign in

arxiv: 1008.2850 · v2 · pith:5SEUQPNAnew · submitted 2010-08-17 · 🧮 math.PR

Time reversal of Volterra processes driven stochastic differential equation

classification 🧮 math.PR
keywords drivendifferentialequationsstochasticvolterraprocessesreversaltime
0
0 comments X
read the original 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.