Rough Volterra equations 2: convolutional generalized integrals
Probability
2008-10-13 v1
Abstract
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
Cite
@article{arxiv.0810.1824,
title = {Rough Volterra equations 2: convolutional generalized integrals},
author = {Samy Tindel and Aurélien Deya},
journal= {arXiv preprint arXiv:0810.1824},
year = {2008}
}
Comments
32 pages, 2 figures