Differential equations driven by rough paths: An approach via discrete approximation

A. M. Davie

Research output: Contribution to journalArticlepeer-review

Abstract

A theory of systems of differential equations of the form dyi = Σj fji (y)dxi , where the driving path x(t) is nondifferentiable, has recently been developed by Lyons. I develop an alternative approach to this theory, using (modified) Euler approximations, and investigate its applicability to stochastic differential equations driven by Brownian motion. I also give some other examples showing that the main results are reasonably sharp.

Original languageEnglish
Article numberabm009
JournalApplied Mathematics Research Express
Volume2008
DOIs
Publication statusPublished - 1 Dec 2008

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