Variability of paths and differential equations with $BV$-coefficients
Probability
2023-11-07 v3 Analysis of PDEs
Functional Analysis
Abstract
We define compositions of H\"older paths in and functions of bounded variation under a relative condition involving the path and the gradient measure of . We show the existence and properties of generalized Lebesgue-Stieltjes integrals of compositions with respect to a given H\"older path . These results are then used, together with Doss' transform, to obtain existence and, in a certain sense, uniqueness results for differential equations in driven by H\"older paths and involving coefficients of bounded variation. Examples include equations with discontinuous coefficients driven by paths of two-dimensional fractional Brownian motions.
Keywords
Cite
@article{arxiv.2003.11698,
title = {Variability of paths and differential equations with $BV$-coefficients},
author = {Michael Hinz and Jonas M. Tölle and Lauri Viitasaari},
journal= {arXiv preprint arXiv:2003.11698},
year = {2023}
}
Comments
67 pages, 102 references