Differential equations driven by rough paths with jumps

By Peter K. Friz, Huilin Zhang. 2017

98 citations recorded by the source corpus.

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

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/0f84ae4c5fc2165d97e53ec5198139b10dd4a86c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ilya Chevyrev
2. Peter K. Friz
3. Nicolas Victoir
4. Huilin Zhang
5. T. Cass
6. Martin Hairer
7. Terry Lyons
8. Samy Tindel

In Mathematical Physics

1. Ilya Chevyrev
2. Peter K. Friz
3. Nicolas Victoir
4. Massimiliano Gubinelli
5. Martin Hairer
6. Peter Tankov
7. Samy Tindel
8. M. Folz

Citations in the corpus

• Canonical RDEs and general semimartingales as rough paths (2017, background): “The study of such non-canonical equations was recently carried out in [21].”