Time reversal of Volterra processes driven stochastic differential equation

Abstract

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.

International Journal of Stochastic Analysis (2013)

References in corpus (2)

• Good rough path sequences and applications to anticipating stochastic calculus
• A Lévy area by Fourier normal ordering for multidimensional fractional Brownian motion with small Hurst index