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Controlled differential equations as rough integrals

Published 13 Jul 2020 in math.PR and math.FA | (2007.06295v2)

Abstract: We study controlled differential equations with unbounded drift terms, where the driving paths is $\nu$ - H\"older continuous for $\nu \in (\frac{1}{3},\frac{1}{2})$, so that the rough integral are interpreted in the Gubinelli sense \cite{gubinelli} for controlled rough paths. Similar to the rough differential equations in the sense of Lyons \cite{lyons98} or of Friz-Victoir \cite{friz}, we prove the existence and uniqueness theorem for the solution in the sense of Gubinelli, the continuity on the initial value, and the solution norm estimates.

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