Bridging rough stochastic differential equations and rough semimartingales
We bridge the gap between the mixed-moment theory of càdlàg rough stochastic differential equations (short:RSDEs), introduced by Friz, Hocquet and Lê (2021) and extended to the càdlàg setting by Allan and Pieper (2026), and the theory of rough semimartingales (short:RSMs), introduced by Friz and Zorin-Kranich (2023), by investigating the intersection of these two theories for the first time. By introducing the concept of good solutions to RSDEs, solutions which are simultaneously both mixed-moment solutions and RSMs, we develop a solution concept, which allows for good control on both moment-based and pathwise properties of solutions. The well-posedness of good solutions is proven using a fixed point argument on the space of $L^{2}$-martingales by suitably leveraging previously known mixed-moment estimates. Based on these insights we further characterize a large class of good solutions of semi-linear RSDEs through a novel rough stochastic Duhamel's principle.