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On rough differential equations

Antoine Lejay 1, 2
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : We prove that the Ito map, that is the map that gives the solution of a differential equation controlled by a rough path of finite p-variation with p in [2,3) is locally Lipschitz continuous in all its arguments and could be extended to vector fields that have only a linear growth.
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https://hal.inria.fr/inria-00278246
Contributor : Antoine Lejay <>
Submitted on : Friday, May 9, 2008 - 5:41:36 PM
Last modification on : Thursday, January 11, 2018 - 6:21:39 AM
Document(s) archivé(s) le : Friday, May 28, 2010 - 6:55:19 PM

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  • HAL Id : inria-00278246, version 1

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Antoine Lejay. On rough differential equations. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2008. ⟨inria-00278246v1⟩

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