Rough Volterra equations 2: convolutional generalized integrals
Abstract
Description
We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory allowing to handle generalized integrals weighted by an exponential coefficient. The results are applied to the fractional Brownian motion with Hurst coefficient greater than 1/3
32 pages, 2 figures
32 pages, 2 figures