Differential Equations Driven byΠ-Rough Paths

DOI10.1017/S0013091515000474MaRDI QIDQ2976224zbMATH OpenFDO

Authors Lajos Gyurkó

Publication date 28 April 2017

Published in Proceedings of the Edinburgh Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.1832

zbMATH Keywords

rough differential equationsrough pathsstochastic differential equationsstochastic integrals

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: This paper revisits the concept of rough paths of inhomogeneous degree of smoothness (geometric Pi-rough paths in our terminology) sketched by Lyons ("Differential equations driven by rough signals", Revista Mathematica Iber. Vol 14, Nr. 2,215-310, 1998). Although geometric Pi-rough paths can be treated as p-rough paths for a sufficiently large p and the theory of integration of Lip-gamma one-forms (gamma>p-1) along geometric p-rough paths applies, we prove the existence of integrals of one-forms under weaker conditions. Moreover, we consider differential equations driven by geometric Pi-rough paths and give sufficient conditions for existence and uniqueness of solution.

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Cites work

• Approximations of the Brownian rough path with applications to stochastic analysis
• Differential equations driven by Gaussian signals
• Geometric versus non-geometric rough paths
• Multidimensional stochastic processes as rough paths. Theory and applications.
• On (p,q)-rough paths
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• System Control and Rough Paths

Cited in

(18)

• A remainder estimate for branched rough differential equations
• Generating diffusions with fractional Brownian motion
• Renormalisation from non-geometric to geometric rough paths
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Planarly branched rough paths and rough differential equations on homogeneous spaces
• Geometric versus non-geometric rough paths
• An isomorphism between branched and geometric rough paths
• An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting
• Rough differential equations with unbounded drift term
• Flows Driven by Banach Space-Valued Rough Paths
• Rough paths on manifolds
• On the integration of weakly geometric rough paths
• The extension of step-N signatures
• Rough differential equations with path-dependent coefficients
• The accessibility problem for geometric rough differential equations
• Quasi-geometric rough paths and rough change of variable formula
• The theory of rough paths via one-forms and the extension of an argument of Schwartz to rough differential equations
• Rough differential equations driven by signals in Besov spaces

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