Rough differential equations with unbounded drift term
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Publication:338448
DOI10.1016/J.JDE.2016.09.021zbMATH Open1357.34096arXiv1605.05604OpenAlexW2963641841MaRDI QIDQ338448FDOQ338448
Authors: Sebastian Riedel, Michael Scheutzow 
Publication date: 4 November 2016
Published in: Journal of Differential Equations (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1605.05604
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Cited In (21)
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- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- Asymptotic dynamics of Young differential equations
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