Rough differential equations with path-dependent coefficients
Copyright policy )Rough differential equations with path-dependent coefficients
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical Dupire derivatives.
- University of Oxford United Kingdom
functional Ito calculus, Stochastic integrals, Probability (math.PR), 60H05, 60H10, Stochastic ordinary differential equations (aspects of stochastic analysis), path-dependent coefficients, Rough paths, Mathematics - Classical Analysis and ODEs, Classical Analysis and ODEs (math.CA), FOS: Mathematics, rough differential equation, Sample path properties, rough paths, Mathematics - Probability
functional Ito calculus, Stochastic integrals, Probability (math.PR), 60H05, 60H10, Stochastic ordinary differential equations (aspects of stochastic analysis), path-dependent coefficients, Rough paths, Mathematics - Classical Analysis and ODEs, Classical Analysis and ODEs (math.CA), FOS: Mathematics, rough differential equation, Sample path properties, rough paths, Mathematics - Probability
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).3 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!