Year: 2017
Type: preprint
Abstract: Motivated by the potential applications to the fractional Brownianmotion, we study Volterra stochasticdifferential of the form~:\begin{equation}X\_t = x+ \int\_0^tK(t,s)b(s,X\_s)ds + \int\_0^tK(t,s) σ(s,X\_s)\,dB\_s ,\tag{E} \label{eq:sdefbm}\end{equation}where $(B\_s, \, s\in [0,1])$ is a one-dimensional standard Brownianmotion and $(K(t,s), \, t,s \in [0,1])$ is a deterministic kernelwhose properties will be precised below but for which we don't assumeany boundedness property.
Source: arXiv (Cornell University)
Authors: Coutin, Laure, Decreusefond, Laurent
Institution: Télécom Paris
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2601550182