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arXiv · 1709.05241

Differential equations driven by rough paths with jumps

Peter K. Friz·Huilin Zhang
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Abstract

We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.

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Peter K. Friz, Huilin Zhang. 2017-09-15. Differential equations driven by rough paths with jumps. https://arxiv.org/abs/1709.05241

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