Differential equations driven by rough paths with jumps (Q1704543)

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.