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 language | English (US) |
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Pages (from-to) | 1533-1555 |
Number of pages | 23 |
Journal | Stochastic Processes and their Applications |
Volume | 129 |
Issue number | 5 |
DOIs | |
State | Published - May 2019 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics