Solving rough differential equations with the theory of regularity structures

14 Oct 2019  ·  Brault Antoine IMT ·

The purpose of this article is to solve rough differential equations with the theory of regularity structures. These new tools recently developed by Martin Hairer for solving semi-linear partial differential stochastic equations were inspired by the rough path theory... We take a pedagogical approach to facilitate the understanding of this new theory. We recover results of the rough path theory with the regularity structure framework. Hence, we show how to formulate a fixed point problem in the abstract space of modelled distributions to solve the rough differential equations. We also give a proof of the existence of a rough path lift with the theory of regularity structure. read more

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Probability