Constructing general rough differential equations through flow approximations - Inria - Institut national de recherche en sciences et technologies du numérique
Journal Articles Electronic Journal of Probability Year : 2022

Constructing general rough differential equations through flow approximations

Abstract

The non-linear sewing lemma constructs flows of rough differential equations from a braod class of approximations called almost flows. We consider a class of almost flows that could be approximated by solutions of ordinary differential equations, in the spirit of the backward error analysis. Mixing algebra and analysis, a Taylor formula with remainder and a composition formula are central in the expansion analysis. With a suitable algebraic structure on the non-smooth vector fields to be integrated, we recover in a single framework several results regarding high-order expansions for various kind of driving paths. We also extend the notion of driving rough path. We also introduce as an example a new family of branched rough paths, called aromatic rough paths modeled after aromatic Butcher series.
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Dates and versions

hal-02871886 , version 1 (17-06-2020)
hal-02871886 , version 2 (04-08-2020)
hal-02871886 , version 3 (16-12-2021)
hal-02871886 , version 4 (13-01-2022)

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Cite

Antoine Lejay. Constructing general rough differential equations through flow approximations. Electronic Journal of Probability, 2022, 27, pp.1-24. ⟨10.1214/21-EJP717⟩. ⟨hal-02871886v4⟩
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