Time reversal of Volterra processes driven stochastic differential equation

Details Time reversal of Volterra processes driven stochastic differential equation Time reversal of Volterra processes driven stochastic differential equation

2010-08-17

arxiv.org/abs/1008.2850v1

Mathematics

Probability

Scientific paper

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.

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