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Delay equations driven by rough paths


 
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1. Title Title of document Delay equations driven by rough paths
 
2. Creator Author's name, affiliation, country Andreas Neuenkirch; Johann Wolfgang Goethe-Universität Frankfurt
 
2. Creator Author's name, affiliation, country Ivan Nourdin; Université Paris 6
 
2. Creator Author's name, affiliation, country Samy Tindel; Université Nancy 1
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) rough paths theory; delay equation; fractional Brownian motion; Malliavin calculus
 
3. Subject Subject classification 60H05; 60H07; 60G15
 
4. Description Abstract In this article, we illustrate the flexibility of the algebraic integration formalism introduced in M. Gubinelli, J. Funct. Anal. 216, 86-140, 2004, Math. Review 2005k:60169, 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 $H>1/3$.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-11-11
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/575
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-575
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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