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Time Reversal of Volterra Processes Driven Stochastic Differential Equations
Author
Source
International Journal of Stochastic Analysis
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-02-27
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Decreusefond, L.. 2013. Time Reversal of Volterra Processes Driven Stochastic Differential Equations. International Journal of Stochastic Analysis،Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-498325
Modern Language Association (MLA)
Decreusefond, L.. Time Reversal of Volterra Processes Driven Stochastic Differential Equations. International Journal of Stochastic Analysis No. 2013 (2013), pp.1-13.
https://search.emarefa.net/detail/BIM-498325
American Medical Association (AMA)
Decreusefond, L.. Time Reversal of Volterra Processes Driven Stochastic Differential Equations. International Journal of Stochastic Analysis. 2013. Vol. 2013, no. 2013, pp.1-13.
https://search.emarefa.net/detail/BIM-498325
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-498325