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arXiv · 2001.10688

Rough differential equations with path-dependent coefficients

Anna Ananova
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Abstract

We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.

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Anna Ananova. 2020-01-29. Rough differential equations with path-dependent coefficients. https://arxiv.org/abs/2001.10688

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