Ito map and iterated integrals

Stochastic Analysis Seminar Series


Abstract: The Taylor expansion of a controlled differential equation suggests that the solution at time 1 depends on the driving path only through the latter's iterated integrals up to time 1, if the vector field is infinitely differentiable. Hambly and Lyons proved that this remains true for Lipschitz vector fields if the driving path has bounded total variation. We extend the Hambly-Lyons result for weakly geometric rough paths in finite dimension. Joint work with X. Geng, T. Lyons and D. Yang.    



HORATIO BOEDIHARDJO (Oxford-Man Institute)

Monday, October 13, 2014 - 14:15
to 15:15