Dimension-free Euler estimates of rough differential equations

zbMATH Open1399.60115arXiv1307.4708MaRDI QIDQ5367155FDOQ5367155

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

Publication date: 12 October 2017

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.

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

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zbMATH Keywords

Banach spacerough differential equationEuler estimate

Mathematics Subject Classification ID

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

Cited In (6)

• Non-explosion criteria for rough differential equations driven by unbounded vector fields
• Flows Driven by Banach Space-Valued Rough Paths
• On the definition of a solution to a rough differential equation
• The Inverse Problem for Rough Controlled Differential Equations
• Random dynamical systems, rough paths and rough flows
• Constructing general rough differential equations through flow approximations

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