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Time reversal of Volterra processes driven stochastic differential equation (1008.2850v2)
Published 17 Aug 2010 in math.PR
Abstract: 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.
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