Rough stochastic differential equations

arXiv2106.10340MaRDI QIDQ6370697FDOQ6370697

Antoine Hocquet, Khoa Lê, Peter Friz

Publication date: 18 June 2021

Abstract: We build a hybrid theory of rough stochastic analysis which seamlessly combines the advantages of both It^o's stochastic and Lyons' rough differential equations. This gives a direct and intrinsic understanding of multidimensional diffusion with Brownian noise $(B,ildeB)$ ${\displaystyle }$ dY_t(omega)=b(omega,t,Y_t(omega))dt+sigma(omega,t,Y_t(omega))dB_t(omega)+f({omega,t},Y_t(omega))d ilde B_t ,, ${\displaystyle }$ in the annealed form, when conditioned on its environmental noise $ildeB$. This situation arises naturally e.g. in filtering theory, for Feynman--Kac representations of solutions to stochastic partial differential equations, in Lions--Souganidis' theory of pathwise stochastic control, and for McKean--Vlasov stochastic differential equations with common noise. In fact, we establish well-posedness of rough stochastic differential equations, with $ildeB$ replaced by a genuine rough path. As consequence, the `annealed' process $Y$ is a locally Lipschitz function of its environmental noise in rough path metrics. There is also interest in taking $ildeB=ilde{B}^H$, a fractional Brownian motion which fits our theory for $H>1/3$. Our assumptions for $b,sigma$ agree with those from It^o theory, those for $f$ with rough paths theory, including an extension of Davie's critical regularity result for deterministic rough differential equations. A major role in our analysis is played by a new scale of stochastic controlled rough paths spaces, related to a $(L^m,L^n)$-variant of stochastic sewing.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

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