Dimension-free Euler estimates of rough differential equations

MaRDI QIDQ5367155zbMATH OpenFDO

Authors Youness Boutaib, Lajos Gyurkó, Terence J. Lyons, Danyu Yang

Publication date 12 October 2017

Full work available at URL https://arxiv.org/abs/1307.4708

zbMATH Keywords

Banach spaceEuler estimaterough differential equation

Mathematics Subject Classification ID

Theoretical approximation of solutions to ordinary differential equations (34A45) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: We give a dimension-free Euler estimation of solution of rough differential equations in term of the driving rough path. In the meanwhile, we prove that, the solution of rough differential equation is close to the exponential of a Lie series, with a concrete error bound.

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Cited in

(11)

• On the definition of a solution to a rough differential equation
• Constructing general rough differential equations through flow approximations
• Non-explosion criteria for rough differential equations driven by unbounded vector fields
• Random dynamical systems, rough paths and rough flows
• Euler estimates for rough differential equations
• The inverse problem for rough controlled differential equations
• A uniform estimate for rough paths
• Flows Driven by Banach Space-Valued Rough Paths
• Signature methods in machine learning
• Taylor expansions and Castell estimates for solutions of stochastic differential equations driven by rough paths
• Log-PDE methods for rough signature kernels

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