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arxiv: 1505.01692 · v4 · pith:CNI5V472new · submitted 2015-05-07 · 🧮 math.PR · math.CA

Rough flows

classification 🧮 math.PR math.CA
keywords flowsroughdriverresultsstochastictheoryanalogueapproximate
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We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration theory of rough drivers and prove well-posedness results for rough differential equations on flows and continuity of the solution flow as a function of the generating rough driver. We show that the theory of semi-martingale stochastic flows developed in the 80's and early 90's fits nicely in this framework, and obtain as a consequence some strong approximation results for general semimartingale flows and provide a fresh look at large deviation theorems for 'Gaussian' stochastic flows.

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