Perturbed linear rough differential equations - Inria - Institut national de recherche en sciences et technologies du numérique
Preprints, Working Papers, ... Year : 2012

Perturbed linear rough differential equations

Laure Coutin
  • Function : Author
  • PersonId : 1048296
Institut de Mathématiques de Toulouse UMR5219
Antoine Lejay
TO Simulate and CAlibrate stochastic models
Probabilités et statistiques

Abstract

We study linear rough differential equations and we solve perturbed linear rough differential equation with a representation using the Duhamel principle. These results provide us with the key technical point to study the regularity of the differential of the Itô map in a subsequent article.

Domains

Probability [math.PR]
Fichier principal
Vignette du fichier
linearRDE.pdf (622.92 Ko) Télécharger le fichier
Origin Files produced by the author(s)

Antoine Lejay  : Connect in order to contact the contributor

https://inria.hal.science/hal-00722900

Submitted on : Monday, August 6, 2012-12:56:13 PM

Last modification on : Wednesday, April 3, 2024-1:54:02 PM

Long-term archiving on : Friday, December 16, 2016-4:43:59 AM

Download

Dates and versions

hal-00722900 , version 1 (06-08-2012)
hal-00722900 , version 2 (28-08-2013)
hal-00722900 , version 3 (23-12-2013)

Identifiers

  • HAL Id : hal-00722900 , version 1

Cite

Laure Coutin, Antoine Lejay. Perturbed linear rough differential equations. 2012. ⟨hal-00722900v1⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite
473 View
545 Download

Share

More