Controlled differential equations as rough integrals

arXiv2007.06295MaRDI QIDQ6344959FDOQ6344959

Authors: Luu Hoang Duc 

Publication date: 13 July 2020

Abstract: We study controlled differential equations with unbounded drift terms, where the driving paths is $u$ - H"older continuous for $uin(frac13,frac12)$, so that the rough integral are interpreted in the Gubinelli sense cite{gubinelli} for controlled rough paths. Similar to the rough differential equations in the sense of Lyons cite{lyons98} or of Friz-Victoir cite{friz}, we prove the existence and uniqueness theorem for the solution in the sense of Gubinelli, the continuity on the initial value, and the solution norm estimates.

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Rough paths (60L20)

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