Rough differential equations with path-dependent coefficients
Probability
2020-01-30 v1 Classical Analysis and ODEs
Abstract
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.
Cite
@article{arxiv.2001.10688,
title = {Rough differential equations with path-dependent coefficients},
author = {Anna Ananova},
journal= {arXiv preprint arXiv:2001.10688},
year = {2020}
}