A generalized mean-reverting equation and applications. (22nd October 2014) - Marie, Nicolas
Abstract Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with HÃ¶lder 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 ItÃ´ map, and we provide an Lp-converging approximation with a rate of convergence (pÂ â‰«Â 1). The regularity of the ItÃ´ map ensures a large deviation principle, and the existence of a density with respect to Lebesgueâ€™s measure, for the solution of that generalized mean-reverting equation. Finally, we study a generalized mean-reverting pharmacokinetic model.