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2008 Delay equations driven by rough paths
Andreas Neuenkirch, Ivan Nourdin, Samy Tindel
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Electron. J. Probab. 13: 2031-2068 (2008). DOI: 10.1214/EJP.v13-575


In this article, we illustrate the flexibility of the algebraic integration formalism introduced in M. Gubinelli, <em>J. Funct. Anal.</em> <strong>216</strong>, 86-140, 2004, <a href=""> Math. Review 2005k:60169</a>, 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 <em>$H</em>>1/3$.


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Andreas Neuenkirch. Ivan Nourdin. Samy Tindel. "Delay equations driven by rough paths." Electron. J. Probab. 13 2031 - 2068, 2008.


Accepted: 11 November 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1190.60046
MathSciNet: MR2453555
Digital Object Identifier: 10.1214/EJP.v13-575

Primary: 60H05
Secondary: 60G15 , 60H07

Keywords: Delay equation , fractional Brownian motion , Malliavin calculus , Rough paths theory

Vol.13 • 2008
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