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arXiv · 1404.0890

A flow-based approach to rough differential equations

Ismael Bailleul
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Abstract

These are lecture notes for a Master 2 course on rough differential equations driven by weak geometric Holder p-rough paths, for any p>2. They provide a short, self-contained and pedagogical account of the theory, with an emphasis on flows. The theory is illustrated by some now classical applications to stochastic analysis, such as the basics of Freidlin-Wentzel theory of large deviations for diffusions, or Stroock and Varadhan support theorem.

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Ismael Bailleul. 2014-04-03. A flow-based approach to rough differential equations. https://arxiv.org/abs/1404.0890

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