Global Solutions to Rough Differential Equations with Unbounded Vector Fields

DOI10.1007/978-3-642-27461-9_11zbMath1254.60059OpenAlexW100911339MaRDI QIDQ2908743

Antoine Lejay

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00451193/file/simple_rough_diff_eq.pdf

zbMATH Keywords

global solutionEuler schemerough pathscontrolled differential equationsrough differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (12)

Rough differential equations with unbounded drift term ⋮ A priori bounds for rough differential equations with a non-linear damping term ⋮ Perturbed linear rough differential equations ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ Model‐free portfolio theory: A rough path approach ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ A Hörmander condition for delayed stochastic differential equations ⋮ Non-explosion criteria for rough differential equations driven by unbounded vector fields ⋮ Path dependent equations driven by Hölder processes ⋮ On nonlinear rough paths ⋮ Pathwise stochastic integrals for model free finance ⋮ Convergence of Multi-Dimensional Quantized SDE’s

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