Time Reversal of Volterra Processes Driven Stochastic Differential Equations
Keyword(s):
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.
2014 ◽
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pp. 280
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