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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 : Saturday, December 20, 2008 - 1:31:43 AM
Last modification on : Thursday, January 11, 2018 - 6:21:39 AM
Document(s) archivé(s) le : Wednesday, September 22, 2010 - 10:57:59 AM

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  • HAL Id : inria-00278246, version 2

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Antoine Lejay. On rough differential equations. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2008. ⟨inria-00278246v2⟩

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