Functional differential equations driven by càdlàg rough paths
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866909750079258624 |
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| author | Kwossek, Anna P. Neuenkirch, Andreas Prömel, David J. |
| author_facet | Kwossek, Anna P. Neuenkirch, Andreas Prömel, David J. |
| contents | The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by càdlàg rough paths. Moreover, it is shown that the associated solution map, also known as Itô-Lyons map, is locally Lipschitz continuous. These results are then applied to various classes of rough differential equations, such as controlled RDEs and RDEs with delay, as well as stochastic differential equations with delay. To that end, a joint rough path is constructed for a càdlàg martingale and its delayed version, that corresponds to stochastic Itô integration. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_17573 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Functional differential equations driven by càdlàg rough paths Kwossek, Anna P. Neuenkirch, Andreas Prömel, David J. Probability Classical Analysis and ODEs 60L20, 60H10 The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by càdlàg rough paths. Moreover, it is shown that the associated solution map, also known as Itô-Lyons map, is locally Lipschitz continuous. These results are then applied to various classes of rough differential equations, such as controlled RDEs and RDEs with delay, as well as stochastic differential equations with delay. To that end, a joint rough path is constructed for a càdlàg martingale and its delayed version, that corresponds to stochastic Itô integration. |
| title | Functional differential equations driven by càdlàg rough paths |
| topic | Probability Classical Analysis and ODEs 60L20, 60H10 |
| url | https://arxiv.org/abs/2403.17573 |