arXiv:1709.05241 Abstract | arXiv Analytics

arXiv:1709.05241 [math.PR]Abstract References Reviews Resources

Differential equations driven by rough paths with jumps

Published 2017-09-15Version 1

We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.

Categories: math.PR

Subjects: 60H99, 60H10

Keywords: differential equations driven, rough path counterpart, stochastic integration, general semimartingales, stochastic differential equations treatable

Related articles: Most relevant | Search more

arXiv:1704.08053 [math.PR] (Published 2017-04-26)

Canonical RDEs and general semimartingales as rough paths

Ilya Chevyrev, Peter K. Friz

arXiv:0711.0668 [math.PR] (Published 2007-11-05)

Differential Equations Driven by Gaussian Signals II

Peter Friz, Nicolas Victoir

arXiv:2010.05292 [math.PR] (Published 2020-10-11)

Stochastic integration with respect to cylindrical semimartingales