Rough differential equations with path-dependent coefficients

2020/01/29 by Anna Ananova, Ananova, Anna · 1 citation
Computer Science · Engineering · #60H05 #60H10 #Advanced Mathematical Modeling in Engineering #Advanced Numerical Methods in Computational Mathematics #Classical Analysis and ODEs (math.CA) #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations

paper · pdf · doi:10.48550/arxiv.2001.10688

openalex publication_date 2020/01/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.

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