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Reference: Antoine Lejay and Nicolas Victoir, (2006). On (p,q)-rough paths. Journal of Differential Equations, 225 (1), 103-133.Citable link to this page:


On (p,q)-rough paths

Abstract: We extend the work of T. Lyons [T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (2) (1998) 215–310] and T. Lyons and Z. Qian [T. Lyons, Z. Qian, System Control and Rough Paths, Oxford Math. Monogr. Oxford Univ. Press, Oxford, 2002] to define integrals and solutions of differential equations along product of p and q rough paths, with 1/p +1/q >1. We use this to write an Itô formula at the level of rough paths, and to see that any rough path can always be interpreted as a product of a p-geometric rough path and a p/2-geometric rough path.

Publication status:PublishedPeer Review status:Peer reviewedVersion:Publisher's versionNotes:Copyright 2006 Elsevier B.V. All rights reserved. Re-use of this article is permitted in accordance with the Terms and Conditions set out at http://www.elsevier.com/open-access/userlicense/1.0/

Bibliographic Details

Publisher: Elsevier B.V.

Publisher Website: http://www.elsevier.com/

Host: Journal of Differential Equationssee more from them

Publication Website: http://www.sciencedirect.com/science/journal/00220396

Issue Date: 2006-June

Copyright Date: 2006


Doi: https://doi.org/10.1016/j.jde.2006.01.018

Issn: 0022-0396

Urn: uuid:fbeb021a-68bf-4cf9-bf8d-4871a0426601 Item Description

Type: Article: post-print;

Language: en

Version: Publisher's versionSubjects: Mathematics Tiny URL: ora:8785


Author: Antoine Lejay - - - Nicolas Victoir - institutionUniversity of Oxford facultyMathematical,Physical and Life Sciences Division - M

Source: https://ora.ox.ac.uk/objects/uuid:fbeb021a-68bf-4cf9-bf8d-4871a0426601


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