Path-dependent rough differential equations
Probability
2013-09-06 v1 Classical Analysis and ODEs
Abstract
We show in this work how the machinery of C^1-approximate flows introduced in our previous work "Flows driven by rough paths", provides a very efficient tool for proving well-posedness results for path-dependent rough differential equations on flows of the form d\phi = V h(dt) + F X(dt), for smooth enough path-dependent vector fields V,F = (V_1,...,V_\ell), any Holder weak geometric p-rough path X and any a-Holder path h, with a+1/p>1.
Cite
@article{arxiv.1309.1291,
title = {Path-dependent rough differential equations},
author = {Ismael Bailleul},
journal= {arXiv preprint arXiv:1309.1291},
year = {2013}
}
Comments
17 pages