Title of article :
Controlling rough paths
Author/Authors :
M Gubinelli، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Abstract :
We formulate indefinite integration with respect to an irregular function as an algebraic problem which has a unique solution under some analytic constraints. This allows us to define a good notion of integral with respect to irregular paths with Hölder exponent greater than 1/3 (e.g. samples of Brownian motion) and study the problem of the existence, uniqueness and continuity of solution of differential equations driven by such paths. We recover Youngʹs theory of integration and the main results of Lyons’ theory of rough paths in Hölder topology.
Keywords :
Rough path theory , Path-wise stochastic integration
Journal title :
Journal of Functional Analysis
Journal title :
Journal of Functional Analysis