Differential equations driven by rough paths with jumps
Abstract
We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.
- Publication:
-
Journal of Differential Equations
- Pub Date:
- May 2018
- DOI:
- 10.1016/j.jde.2018.01.031
- arXiv:
- arXiv:1709.05241
- Bibcode:
- 2018JDE...264.6226F
- Keywords:
-
- primary;
- 60H99;
- secondary;
- 60H10;
- Mathematics - Probability;
- 60H99 (Primary) 60H10 (Secondary)