Differential equations driven by rough paths with jumps
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Abstract: We develop the rough path counterpart of It^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It^o / forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.
In this paper, the authors develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. Some variants of the ``sewing lemmas are developed in the non-continuous case, which in turn offers expansions of integrals and solutions to differential equations devoted to the case of random \(p\)-rough paths. The analysis comes with stability estimates in terms of \(p\)-variation rough path metrics, which readily can be framed in (purely deteministic) limit theorems with respect to \(p\)-variation rough path variants of the Skorohod J1 metric. The authors also investigate the rough path \(p\)-variation tightness and presented a Besov-type criterion for discrete rough path approximation. This enlarges significantly the classes of (Itô / forward) stochastic differential equations treatable with pathwise methods, and has a very wide range of applications.
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Cited in
(70)- Differential equations driven by rough signals
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