Canonical RDEs and general semimartingales as rough paths

In the spirit of Marcus canonical stochastic differential equations, we study a similar notion of rough differential equations (RDEs), notably dropping the assumption of continuity prevalent in the rough path literature. A new metric is exhibited in which the solution map is a continuous function of...

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Auteurs principaux: Chevyrev, I, Friz, P
Format: Journal article
Publié: Institute of Mathematical Statistics 2018