Global existence for rough differential equations under linear growth conditions
Probability
2009-05-15 v1
Abstract
We prove existence of global solutions for differential equations driven by a geometric rough path under the condition that the vector fields have linear growth. We show by an explicit counter-example that the linear growth condition is not sufficient if the driving rough path is not geometric. This settle a long-standing open question in the theory of rough paths. So in the geometric setting we recover the usual sufficient condition for differential equation. The proof rely on a simple mapping of the differential equation from the Euclidean space to a manifold to obtain a rough differential equation with bounded coefficients.
Cite
@article{arxiv.0905.2399,
title = {Global existence for rough differential equations under linear growth conditions},
author = {Massimiliano Gubinelli and Antoine Lejay},
journal= {arXiv preprint arXiv:0905.2399},
year = {2009}
}
Comments
20 pages