Rough differential equations with unbounded drift term

DOI10.1016/J.JDE.2016.09.021MaRDI QIDQ338448zbMATH OpenOpenAlexFDO

Authors Sebastian Riedel, Michael Scheutzow

Publication date 4 November 2016

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05604

zbMATH Keywords

rough pathscontrolled ordinary differential equationsexistence of semiflowunbounded drift term

Mathematics Subject Classification ID

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

Abstract: We study controlled differential equations driven by a rough path (in the sense of T. Lyons) with an additional, possibly unbounded drift term. We show that the equation induces a solution flow if the drift grows at most linearly. Furthermore, we show that the semiflow exists assuming only appropriate one-sided growth conditions. We provide bounds for both the flow and the semiflow. Applied to stochastic analysis, our results imply "strong completeness" and the existence of a stochastic (semi)flow for a large class of stochastic differential equations. If the driving process is Gaussian, we can further deduce (essentially) sharp tail estimates for the (semi)flow and a Freidlin-Wentzell-type large deviation result.

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Cited in

(24)

• Differentiability of SDEs with drifts of super-linear growth
• Global Solutions to Rough Differential Equations with Unbounded Vector Fields
• Asymptotic dynamics of Young differential equations
• Random attractors for rough stochastic partial differential equations
• Rough differential equations containing path-dependent bounded variation terms
• A priori bounds for rough differential equations with a non-linear damping term
• Moderate deviations for rough differential equations
• Rough flows
• A dynamical theory for singular stochastic delay differential equations. II: Nonlinear equations and invariant manifolds
• Numerical Attractors for Rough Differential Equations
• Controlled differential equations as rough integrals
• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• An integrable bound for rough stochastic partial differential equations with applications to invariant manifolds and stability
• On rough differential equations
• Averaging principle for fast-slow system driven by mixed fractional Brownian rough path
• Multidimensional backward stochastic differential equations with rough drifts
• Exponential stability of stochastic systems: A pathwise approach
• Regularization by noise for rough differential equations driven by Gaussian rough paths
• Random dynamical systems, rough paths and rough flows
• Wong-Zakai type approximations of rough random dynamical systems by smooth noise
• Random attractors for dissipative systems with rough noises
• Penalisation techniques for one-dimensional reflected rough differential equations
• A note on rough differential equations with unbounded coefficients
• Distribution dependent SDEs driven by additive continuous noise

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