2000 character limit reached
On Itô differential equation in rough path theory (1306.2589v2)
Published 11 Jun 2013 in math.PR
Abstract: The solution of rough differential equation, driven by the It^o signature of a continuous local martingale, exists uniquely a.s. when the vector field is Lip(\beta) for \beta > 1, and coincides a.s. with the It^o signature of the solution of parallel stochastic differential equation. Moreover, the It^o solution can be recovered pathwisely by concatenating discounted Stratonovich solutions.
Sponsor
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.