Differential equations driven by rough paths: an approach via discrete approximation
Probability
2007-10-04 v1 Classical Analysis and ODEs
Abstract
A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to stochastic differential equations driven by Brownian motion. We also give some other examples showing that the main results are reasonably sharp.
Cite
@article{arxiv.0710.0772,
title = {Differential equations driven by rough paths: an approach via discrete approximation},
author = {A. M. Davie},
journal= {arXiv preprint arXiv:0710.0772},
year = {2007}
}