Controlled differential equations as rough integrals

MaRDI QIDQ6344959arXivFDO

Authors Luu Hoang Duc

Publication date 13 July 2020

Published in arXiv

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20) Stochastic stability in control theory (93E15)

arXiv classification

math.FAmath.PR

Abstract: We study controlled differential equations with unbounded drift terms, where the driving paths is $u$ - H"older continuous for $uin(frac13,frac12)$, so that the rough integral are interpreted in the Gubinelli sense cite{gubinelli} for controlled rough paths. Similar to the rough differential equations in the sense of Lyons cite{lyons98} or of Friz-Victoir cite{friz}, we prove the existence and uniqueness theorem for the solution in the sense of Gubinelli, the continuity on the initial value, and the solution norm estimates.

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