A flow-based approach to rough differential equations
Classical Analysis and ODEs
2014-04-04 v1 Probability
Abstract
These are lecture notes for a Master 2 course on rough differential equations driven by weak geometric Holder p-rough paths, for any p>2. They provide a short, self-contained and pedagogical account of the theory, with an emphasis on flows. The theory is illustrated by some now classical applications to stochastic analysis, such as the basics of Freidlin-Wentzel theory of large deviations for diffusions, or Stroock and Varadhan support theorem.
Keywords
Cite
@article{arxiv.1404.0890,
title = {A flow-based approach to rough differential equations},
author = {Ismael Bailleul},
journal= {arXiv preprint arXiv:1404.0890},
year = {2014}
}
Comments
63 pages