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arxiv: 1404.0890 · v1 · pith:XZ74FZPCnew · submitted 2014-04-03 · 🧮 math.CA · math.PR

A flow-based approach to rough differential equations

classification 🧮 math.CA math.PR
keywords theorydifferentialequationsroughaccountanalysisapplicationsapproach
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These are lecture notes for a Master 2 course on rough differential equations driven by weak geometric Holder p-rough paths, for any p>2. They provide a short, self-contained and pedagogical account of the theory, with an emphasis on flows. The theory is illustrated by some now classical applications to stochastic analysis, such as the basics of Freidlin-Wentzel theory of large deviations for diffusions, or Stroock and Varadhan support theorem.

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