I would like to know whether there is a suitable extension of the theory of rough paths that could be useful to solve Non-Markovian problems.
I would appreciate any example or also any other theory (not necessarily rough paths) that could give a formal framework to deal with non-Markovianity.
My main motivation is to solve 1D or 2D stochastic differential equations driven by non-Markovian processes, arising in physics (e.g., non-equilibrium thermodynamics). Thanks!