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A generalized mean-reverting equation and applications

Published online by Cambridge University Press:  22 October 2014

Nicolas Marie
Nicolas Marie*
Affiliation:
Laboratoire Modal’X, Université Paris-Ouest, 200 Avenue de la République, 92000 Nanterre, France. nmarie@u-paris10.fr
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Abstract

Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with Hölder continuous paths on [0,T] (T> 0). Taking that equation in rough paths sense only gives local existence of the solution because the non-explosion condition is not satisfied in general. Under natural assumptions, by using specific methods, we show the global existence and uniqueness of the solution, its integrability, the continuity and differentiability of the associated Itô map, and we provide an Lp-converging approximation with a rate of convergence (p ≫ 1). The regularity of the Itô map ensures a large deviation principle, and the existence of a density with respect to Lebesgue’s measure, for the solution of that generalized mean-reverting equation. Finally, we study a generalized mean-reverting pharmacokinetic model.

Keywords

Stochastic differential equationsrough pathslarge deviation principlemean-reversionGaussian processes
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 18 , 2014 , pp. 799 - 828
Copyright
© EDP Sciences, SMAI 2014

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