Existence, uniqueness and stability of semi-linear rough partial differential equations
Probability
2020-01-13 v1
Abstract
We prove well-posedness and rough path stability of a class of linear and semi-linear rough PDE's on using the variational approach. This includes well-posedness of (possibly degenerate) linear rough PDE's in , and then -- based on a new method -- energy estimates for non-degenerate linear rough PDE's. We accomplish this by controlling the energy in a properly chosen weighted -space, where the weight is given as a solution of an associated backward equation. These estimates then allow us to extend well-posedness for linear rough PDE's to semi-linear perturbations.
Cite
@article{arxiv.1809.00841,
title = {Existence, uniqueness and stability of semi-linear rough partial differential equations},
author = {Peter Friz and Torstein Nilssen and Wilhelm Stannat},
journal= {arXiv preprint arXiv:1809.00841},
year = {2020}
}