The non-linear sewing lemma I : weak formulation
| Autor: | Brault, Antoine, Lejay, Antoine |
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| Rok vydání: | 2018 |
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| Druh dokumentu: | Working Paper |
| Popis: | We introduce a new framework to deal with rough differential equations based on flows and their approximations. Our main result is to prove that measurable flows exist under weak conditions, even solutions to the corresponding rough differential equations are not unique. We show that under additional conditions of the approximation, there exists a unique Lipschitz flow. Then, a perturbation formula is given. Finally, we link our approach to the additive, multiplicative sewing lemmas and the rough Euler scheme. Comment: Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), In press |
| Databáze: | arXiv |
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