A generalized mean-reverting equation and applications
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] (> 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...