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 <i>H</i>>1/3. ">
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 Electronic Journal of Probability > Vol. 13 (2008) > Paper 67 open journal systems 


Delay equations driven by rough paths

Andreas Neuenkirch, Johann Wolfgang Goethe-Universität Frankfurt
Ivan Nourdin, Université Paris 6
Samy Tindel, Université Nancy 1


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.


Full text: PDF

Pages: 2031-2068

Published on: November 11, 2008
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Electronic Journal of Probability. ISSN: 1083-6489