Open Access
Electronic Journal of Probability, volume 28, issue none
Ramification of Volterra-type rough paths
Yvain Bruned
1
,
Foivos Katsetsiadis
2
Publication type: Journal Article
Publication date: 2023-01-01
Journal:
Electronic Journal of Probability
scimago Q1
SJR: 1.419
CiteScore: 1.8
Impact factor: 1.3
ISSN: 10836489
Statistics and Probability
Statistics, Probability and Uncertainty
Abstract
We extend the new approach introduced in [24] and [25] for dealing with stochastic Volterra equations using the ideas of Rough Path theory and prove global existence and uniqueness results. The main idea of this approach is simple: Instead of the iterated integrals of a path comprising the data necessary to solve any equation driven by that path, now iterated integral convolutions with the Volterra kernel comprise said data. This leads to the corresponding abstract objects called Volterra-type Rough Paths, as well as the notion of the convolution product, an extension of the natural tensor product used in Rough Path Theory.
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