Rough differential equations in the flow approach

IF 1.2 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2025-08-07 DOI:10.1016/j.spa.2025.104757

Ajay Chandra , Léonard Ferdinand

引用次数: 0

Abstract

We show how the flow approach of Duch (2021), with elementary differentials as coordinates as in Chandra and Ferdinand (2024), can be used to prove well-posedness for rough stochastic differential equations driven by fractional Brownian motion with Hurst index

H > \frac{1}{4}

. A novelty appearing here is that we use coordinates for the flow that are indexed by trees rather than multi-indices.

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流动方法中的粗糙微分方程

我们展示了Duch（2021）的流方法如何与Chandra和Ferdinand（2024）一样，以初等微分作为坐标，用于证明由带有Hurst指数的分数布朗运动驱动的粗糙随机微分方程的适定性。这里出现的一个新奇之处是，我们为流使用由树而不是多索引索引的坐标。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.