Differential equations driven by rough paths with jumps
Probability
2017-09-18 v1
Abstract
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.
Cite
@article{arxiv.1709.05241,
title = {Differential equations driven by rough paths with jumps},
author = {Peter K. Friz and Huilin Zhang},
journal= {arXiv preprint arXiv:1709.05241},
year = {2017}
}