English

Variability of paths and differential equations with $BV$-coefficients

Probability 2023-11-07 v3 Analysis of PDEs Functional Analysis

Abstract

We define compositions φ(X)\varphi(X) of H\"older paths XX in Rn\mathbb{R}^n and functions of bounded variation φ\varphi under a relative condition involving the path and the gradient measure of φ\varphi. We show the existence and properties of generalized Lebesgue-Stieltjes integrals of compositions φ(X)\varphi(X) with respect to a given H\"older path YY. These results are then used, together with Doss' transform, to obtain existence and, in a certain sense, uniqueness results for differential equations in Rn\mathbb{R}^n 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

R2 v1 2026-06-23T14:27:35.518Z