Year: 2008
Type: article
Abstract: In this article, we illustrate the flexibility of the algebraic integration formalism introduced in M. Gubinelli, J. Funct. Anal. 216, 86-140, 2004, Math. Review 2005k:60169, by establishing an existence and uniqueness result for delay equations driven by rough paths. We then apply our results to the case where the driving path is a fractional Brownian motion with Hurst parameter $H>1/3$.
DOI: 10.1214/ejp.v13-575
Authors: Andreas Neuenkirch, Ivan Nourdin, Samy Tindel
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $675
OpenAlex ID: W2098404413