Differential equations driven by rough paths with jumps

Peter K Friz,Huilin Zhang

doi:10.1016/j.jde.2018.01.031

Differential equations driven by rough paths with jumps

Peter K Friz, Huilin Zhang

Open Access

https://doi.org/10.1016/j.jde.2018.01.031

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Journal: Journal of Differential Equations	Publication Date: Feb 9, 2018
Citations: 45	License type: elsevier-specific: oa user license

Affiliation: Weierstrass Institute for Applied Analysis and Stochastics, Technische Universität Berlin, Shandong University

#Pathwise Methods #General Semimartingales + Show 5 more

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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.

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