Open Access
Translator Disclaimer
2022 Constructing general rough differential equations through flow approximations
Antoine Lejay
Author Affiliations +
Electron. J. Probab. 27: 1-24 (2022). DOI: 10.1214/21-EJP717

Abstract

The non-linear sewing lemma constructs flows of rough differential equations from a broad class of approximations called almost flows. We consider a class of almost flows that could be approximated by solutions of ordinary differential equations, in the spirit of the backward error analysis. Mixing algebra and analysis, a Taylor formula with remainder and a composition formula are central in the expansion analysis. With a suitable algebraic structure on the non-smooth vector fields to be integrated, we recover in a single framework several results regarding high-order expansions for various kinds of driving paths. We also extend the notion of driving rough path. We introduce as an example a new family of branched rough paths, called aromatic rough paths modeled after aromatic Butcher series.

Acknowledgment

The author thanks Laure Coutin and Antoine Brault for interesting discussions related to this article, and the referees for their valuable comments.

Citation

Download Citation

Antoine Lejay. "Constructing general rough differential equations through flow approximations." Electron. J. Probab. 27 1 - 24, 2022. https://doi.org/10.1214/21-EJP717

Information

Received: 4 August 2020; Accepted: 16 October 2021; Published: 2022
First available in Project Euclid: 14 January 2022

arXiv: 2006.10309
Digital Object Identifier: 10.1214/21-EJP717

Subjects:
Primary: 34A06 , 60L20

Keywords: aromatic Butcher series , Branched rough paths , rough differential equations

JOURNAL ARTICLE
24 PAGES


SHARE
Vol.27 • 2022
Back to Top