Year: 2013
Type: preprint
Abstract: We show in this work how the machinery of C^1-approximate flows introduced in our previous work "Flows driven by rough paths", provides a very efficient tool for proving well-posedness results for path-dependent rough differential equations on flows of the form dϕ= V h(dt) + F X(dt), for smooth enough path-dependent vector fields V,F = (V_1,...,V_\ell), any Holder weak geometric p-rough path X and any a-Holder path h, with a+1/p>1.
Source: arXiv (Cornell University)
Author: Bailleul, Ismael
Institution: Institut de recherche mathématique de Rennes
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1735265167