Rough differential equations with power type nonlinearities

Prakash Chakraborty, Samy Tindel

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In this note we consider differential equations driven by a signal x which is γ-Hölder with γ>[Formula presented], and is assumed to possess a lift as a rough path. Our main point is to obtain existence of solutions when the coefficients of the equation behave like power functions of the form |ξ| κ with κ∈(0,1). Two different methods are used in order to construct solutions: (i) In a 1-d setting, we resort to a rough version of Lamperti's transform. (ii) For multidimensional situations, we quantify some improved regularity estimates when the solution approaches the origin.

Original languageEnglish (US)
Pages (from-to)1533-1555
Number of pages23
JournalStochastic Processes and their Applications
Volume129
Issue number5
DOIs
StatePublished - May 2019

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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