Rough Volterra equations 1: the algebraic integration setting

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dc.creatorDeya, Aurélien
dc.creatorTindel, Samy
dc.date2008-09-11
dc.date.accessioned2026-07-07T10:02:17Z
dc.date.available2026-07-07T10:02:17Z
dc.descriptionWe define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory called algebraic integration. In the Young case, that is for a driving signal with Hölder exponent greater than 1/2, we obtain a global solution, and are able to handle the case of a singular Volterra coefficient. In case of a driving signal with Hölder exponent in (1/3,1/2], we get a local existence and uniqueness theorem. The results are easily applied to the fractional Brownian motion with Hurst coefficient H>1/3.
dc.description31 pages
dc.identifierhttps://arxiv.org/abs/0809.2000
dc.identifierhttp://arxiv.org/abs/0809.2000
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/168917
dc.subjectProbability
dc.subject60G15, 60H05, 60H20
dc.titleRough Volterra equations 1: the algebraic integration setting
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