Rough differential equations with power type nonlinearities

DOI10.1016/J.SPA.2018.05.010zbMATH Open1426.60094arXiv1708.04659OpenAlexW2416023656WikidataQ129701042 ScholiaQ129701042MaRDI QIDQ1999913FDOQ1999913

Prakash Chakraborty, S. Tindel

Publication date: 27 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this note we consider differential equations driven by a signal $x$ which is $gamma$-H"older with $gamma>1/3$, and is assumed to possess a lift as a rough path. Our main point is to obtain existence of solutions when the coefficients of the equation behave like power functions of the form $|xi{|}^{kappa}$ with $kappain(0,1)$. Two different methods are used in order to construct solutions: (i) In a 1-d setting, we resort to a rough version of Lamperti's transform. (ii) For multidimensional situations, we quantify some improved regularity estimates when the solution approaches the origin.

Full work available at URL: https://arxiv.org/abs/1708.04659

zbMATH Keywords

rough pathrough differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Cites Work

• Title not available (Why is that?)
• Differential equations driven by rough signals
• Singular stochastic differential equations.
• Controlling rough paths
• On the uniqueness of solutions of stochastic differential equations
• Multidimensional Stochastic Processes as Rough Paths
• A course on rough paths. With an introduction to regularity structures
• Pathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: The white noise case
• On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients
• On the uniqueness of solutions of stochastic differential equations. II
• First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
• Young differential equations with power type nonlinearities

Cited In (2)

• Young differential equations with power type nonlinearities
• A rough super-Brownian motion

This page was built for publication: Rough differential equations with power type nonlinearities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1999913)