Path-dependent equations driven by Hölder processes
october, 2019
Publication type:
Paper in peer-reviewed journals
Journal:
Stochastic analysis and their applications., vol. 37 (3), pp. 480-498
HAL:
arXiv:
Keywords :
Young integration; Path-dependent; Differential equations.
Abstract:
This paper investigates existence results for path-dependent differential equations driven by a Hölder function where the integrals are understood in the Young sense. The two main results are proved via an application of Schauder theorem and the vector field is allowed to be unbounded. The Hölder function is typically the trajectory of a stochastic process.
BibTeX:
@article{And-Rus-2019,
author={Rafael Andretto Castrequini and Francesco Russo },
title={Path-dependent equations driven by Hölder processes },
doi={10.1080/07362994.2019.1585263 },
journal={Stochastic analysis and their applications. },
year={2019 },
month={10},
volume={37 (3) },
pages={480--498},
}