Delay equations driven by rough paths

Neuenkirch, Andreas ; Nourdin, Ivan ; Tindel, Samy

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Document Type: Article
Year of publication: 2008
The title of a journal, publication series: Electronic Journal of Probability : EJP
Volume: 13
Issue number: Paper 67
Page range: 2031-2068
Place of publication: Seattle, WA
Publishing house: University of Washington, Mathematics Department
ISSN: 1083-6489
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-)
Subject: 510 Mathematics
Abstract: In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), 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.
Additional information: Online-Ressource

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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