Path dependent equations driven by Hölder processes

Rafael Andretto Castrequini; Francesco Russo

doi:10.1080/07362994.2019.1585263

Path dependent equations driven by Hölder processes

Rafael Andretto Castrequini, Francesco Russo

Université Paris-Saclay

Research output: Contribution to journal › Article › peer-review

Abstract

This article 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.

Original language	English
Pages (from-to)	480-498
Number of pages	19
Journal	Stochastic Analysis and Applications
Volume	37
Issue number	3
DOIs	https://doi.org/10.1080/07362994.2019.1585263
Publication status	Published - 4 May 2019
Externally published	Yes

Keywords

Young integration
differential equations
path-dependent

Access to Document

10.1080/07362994.2019.1585263

Cite this

@article{17769c808ee1457c8798c8e4874e2f5b,

title = "Path dependent equations driven by H{\"o}lder processes",

abstract = "This article investigates existence results for path-dependent differential equations driven by a H{\"o}lder 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 H{\"o}lder function is typically the trajectory of a stochastic process.",

keywords = "Young integration, differential equations, path-dependent",

author = "\{Andretto Castrequini\}, Rafael and Francesco Russo",

note = "Publisher Copyright: {\textcopyright} 2019, {\textcopyright} 2019 Taylor \& Francis Group, LLC.",

year = "2019",

month = may,

day = "4",

doi = "10.1080/07362994.2019.1585263",

language = "English",

volume = "37",

pages = "480--498",

journal = "Stochastic Analysis and Applications",

issn = "0736-2994",

number = "3",

}

TY - JOUR

T1 - Path dependent equations driven by Hölder processes

AU - Andretto Castrequini, Rafael

AU - Russo, Francesco

PY - 2019/5/4

Y1 - 2019/5/4

N2 - This article 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.

AB - This article 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.

KW - Young integration

KW - differential equations

KW - path-dependent

U2 - 10.1080/07362994.2019.1585263

DO - 10.1080/07362994.2019.1585263

M3 - Article

AN - SCOPUS:85063083448

SN - 0736-2994

VL - 37

SP - 480

EP - 498

JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

IS - 3

ER -

Path dependent equations driven by Hölder processes

Abstract

Keywords

Access to Document

Fingerprint

Cite this