Time reversal of Volterra processes driven stochastic differential equation
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🧮 math.PR
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drivendifferentialequationsstochasticvolterraprocessesreversaltime
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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.
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