Constructing general rough differential equations through flow approximations

被引:2
作者
Lejay, Antoine [1 ]
机构
[1] Univ Lorraine, IECL, INRIA, CNRS, F-54000 Nancy, France
来源
ELECTRONIC JOURNAL OF PROBABILITY | 2022年 / 27卷
关键词
rough differential equations; branched rough paths; aromatic Butcher series; DRIVEN; INTEGRATION; SERIES; PATHS; SPACE;
D O I
10.1214/21-EJP717
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The non-linear sewing lemma constructs flows of rough differential equations from a broad class of approximations called almost flows. We consider a class of almost flows that could be approximated by solutions of ordinary differential equations, in the spirit of the backward error analysis. Mixing algebra and analysis, a Taylor formula with remainder and a composition formula are central in the expansion analysis. With a suitable algebraic structure on the non-smooth vector fields to be integrated, we recover in a single framework several results regarding high-order expansions for various kinds of driving paths. We also extend the notion of driving rough path. We introduce as an example a new family of branched rough paths, called aromatic rough paths modeled after aromatic Butcher series.
引用
收藏
页码:1 / 24
页数:24
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