Time reversal of Volterra processes driven stochastic differential equation

Laurent Decreusefond (1, 2)

1 LTCI - Laboratoire Traitement et Communication de l'Information
2 Télécom ParisTech

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.

Domaines: Probabilités [math.PR]

Laurent Decreusefond. Time reversal of Volterra processes driven stochastic differential equation. 2010. ⟨hal-00509900v1⟩