Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent (Q2064219)
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English | Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent |
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Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent (English)
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5 January 2022
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The paper is devoted to differential equations of the form \(dY_t = f(Y_t)dX_t\), where \(X\) is an \(\alpha\)-Hölder function, \(\alpha\leq 1/2.\) Based on the ideas of rough path theory originated by Gubinelli and Harang, the authors develop a theory of rough paths with an arbitrary Hölder exponent \(\alpha\), which, in contrast to Lyons' theory, does not require the convergence of piecewise linear approximations of the process \(X\), which permits one to apply the resulting theory when studying the existence and uniqueness of solutions of one-dimensional stochastic differential equations controlled by fractional Brownian motions with an arbitrary Hurst index \(H \in (0, 1)\). As an auxiliary but very important tool, composition of weakly controlled rough paths with smooth functions is studied in detail.
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rough path
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differential equations
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existence and uniqueness of solution
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