A flow-based approach to rough differential equations (1404.0890v1)

Published 3 Apr 2014 in math.CA and math.PR

Abstract: These are lecture notes for a Master 2 course on rough differential equations driven by weak geometric Holder p-rough paths, for any p>2. They provide a short, self-contained and pedagogical account of the theory, with an emphasis on flows. The theory is illustrated by some now classical applications to stochastic analysis, such as the basics of Freidlin-Wentzel theory of large deviations for diffusions, or Stroock and Varadhan support theorem.

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Authors (1)

Ismael Bailleul

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