Controlled differential equations as Young integrals: a simple approach (Q710514): Difference between revisions

The goal of the paper is to solve and study the properties of the rough differential equation \[ y_t=y_0+\int_0^tf(y_s)dx_s, \] where \(x\) is a continuous path of finite \(p\)-variation with values in a Banach space \(U\), \(f\) is a \(\gamma\)-Hölder continuous function from \(U\) to \(L(U,V)\), under the constraint \(\gamma+1>p\). This condition implies that necessarily \(p<2\) so that this approach cannot be used for the paths of a Brownian motion. It is shown that the very definition of the Young integral and its properties allows one to recover easily the main results on existence, uniqueness, continuity, flow property, rate of convergence of the Euler scheme. In addition, it is possible to consider the case of unbounded \(f\), unlike in articles based on the Picard iteration. The strategy is the one used in the more complex case for \(2<p\leq 3\) for providing bounds and estimation on distances between solutions of rough differential equations. The prototypal example is given by a stochastic differential equation involving fractional Brownian motion with Hurst index more than \(1/2\).