Ramification of Volterra-type Rough Paths

Yvain Bruned, Foivos Katsetsiadis

Research output: Working paper

Abstract

We extend the new approach introduced in arXiv:1912.02064v2 [math.PR] and arXiv:2102.10119v1 [math.PR] 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.
Original languageEnglish
PublisherArXiv
Number of pages28
Publication statusSubmitted - 7 May 2021

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