Differential equations driven by variable order Hölder noise and the regularizing effect of delay

DOI10.1080/17442508.2019.1602130zbMATH Open1490.60164arXiv1803.04369OpenAlexW2962735273MaRDI QIDQ5086475FDOQ5086475

Authors: Fabian A. Harang 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this article we extend the framework of rough paths to processes of variable H"older exponent or variable order paths. We show how a class of multiple discrete delay differential equations driven by signals of variable order are especially well suited to be studied in a path wise sense. In fact, under some assumptions on the H"older regularity functions of the driving signal, the local H"older regularity of the variable order signal may be close to 0, without more than C_{b}^{2} diffusion coefficients (in contrast to higher regularity requirements known from constant order rough path theory). Furthermore, we give a canonical algorithm to construct the iterated integral of variable order on the domain left[0,T ight]^{2}, by constructing the iterated integrals on some well chosen strip around the diagonal of left[0,T ight]^{2}, and then extending it to the whole domain using Chens relation. At last, we give a recollection of the results of rough paths found in [FriHai], but tailored for variable order paths.

Full work available at URL: https://arxiv.org/abs/1803.04369

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zbMATH Keywords

stochastic differential equationsdelayed differential equationsrough pathsmultifractional Brownian motionvariable order spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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