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Controlled differential equations as Young integrals: a simple approach

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 : The theory of rough paths allows one to define controlled differential equations driven by a path which is irregular. The most simple case is the one where the driving path has finite p-variations with 1≤ p <2, in which case the integrals are interpreted as Young integrals. The prototypal example is given by Stochastic Differential Equations driven by fractional Brownian motion with Hurst index greater than 1/2. Using simple computations, we give the main results regarding this theory --- existence, uniqueness, convergence of the Euler scheme, flow property, ... --- which are spread out among several articles.
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Submitted on : Tuesday, July 7, 2009 - 12:04:58 PM
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Long-term archiving on: : Tuesday, June 15, 2010 - 7:37:50 PM

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Antoine Lejay. Controlled differential equations as Young integrals: a simple approach. Journal of Differential Equations, Elsevier, 2010, 249, pp.1777-1798. ⟨10.1016/j.jde.2010.05.006⟩. ⟨inria-00402397⟩

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