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A generalized mean-reverting equation andapplications

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

Abstract

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Consider a mean-reverting equation, generalized in the sense it is driven by a1-dimensional centeredGaussian process with Hölder continuous paths on [0,T] (T> 0). Taking thatequation in rough paths sense only gives local existence of the solution because thenon-explosion condition is not satisfied in general. Under natural assumptions, by usingspecific methods, we show the global existence and uniqueness of the solution, itsintegrability, the continuity and differentiability of the associated Itô map, and weprovide an Lp-convergingapproximation with a rate of convergence (p ≫ 1). The regularity of the Itô map ensures a largedeviation 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 ageneralized mean-reverting pharmacokinetic model.

Keywords

Stochastic differential equationsrough pathslarge deviation principlemean-reversionGaussian processes

Information

Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 18 , 2014 , pp. 799 - 828
Copyright
© EDP Sciences, SMAI 2014

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