Journal article
On (p,q)-rough paths
- Abstract:
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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:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 276.2KB, Terms of use)
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- Publisher copy:
- 10.1016/j.jde.2006.01.018
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Differential Equations More from this journal
- Volume:
- 225
- Issue:
- 1
- Pages:
- 103-133
- Publication date:
- 2006-06-01
- Edition:
- Publisher's version
- DOI:
- ISSN:
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0022-0396
- Language:
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English
- Subjects:
- UUID:
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uuid:fbeb021a-68bf-4cf9-bf8d-4871a0426601
- Local pid:
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ora:8785
- Deposit date:
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2014-07-15
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier Inc
- Copyright date:
- 2006
- Notes:
- 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/
- Licence:
- Other
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