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arXiv · 0810.1824

Rough Volterra equations 2: convolutional generalized integrals

Samy Tindel·Aurélien Deya
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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

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Samy Tindel, Aurélien Deya. 2008-10-10. Rough Volterra equations 2: convolutional generalized integrals. https://arxiv.org/abs/0810.1824

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