Advanced Studies in Pure Mathematics

A note on rough differential equations with unbounded coefficients

Yuzuru Inahama

Full-text: Open access

Abstract

By using a cutoff technique, we make a rough path approach to SDEs with linear growth coefficients. As an application, we improve Fang–Zhang's large deviation for loop group valued Brownian motion.

Article information

Source
Probabilistic Approach to Geometry, M. Kotani, M. Hino and T. Kumagai, eds. (Tokyo: Mathematical Society of Japan, 2010), 155-170

Dates
Received: 13 November 2008
Revised: 28 May 2009
First available in Project Euclid: 24 November 2018

Permanent link to this document
https://projecteuclid.org/ euclid.aspm/1543086317

Digital Object Identifier
doi:10.2969/aspm/05710155

Mathematical Reviews number (MathSciNet)
MR2648258

Zentralblatt MATH identifier
1203.60072

Subjects
Primary: 60B12: Limit theorems for vector-valued random variables (infinite- dimensional case) 58J65: Diffusion processes and stochastic analysis on manifolds [See also 35R60, 60H10, 60J60] 60J15

Keywords
Rough path stochastic differential equation

Citation

Inahama, Yuzuru. A note on rough differential equations with unbounded coefficients. Probabilistic Approach to Geometry, 155--170, Mathematical Society of Japan, Tokyo, Japan, 2010. doi:10.2969/aspm/05710155. https://projecteuclid.org/euclid.aspm/1543086317


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