Variability of paths and differential equations with BV-coefficients
We define compositions phi(X) of Holder paths X in Rn and functions of bounded variation phi under a relative condition involving the path and the gradient measure of phi. We show the existence and properties of generalized Lebesgue-Stieltjes integrals of compositions phi (X) with respect to a given...
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Veröffentlicht in: | Annales de l'I.H.P. Probabilités et statistiques 2023-11, Vol.59 (4), p.2036 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We define compositions phi(X) of Holder paths X in Rn and functions of bounded variation phi under a relative condition involving the path and the gradient measure of phi. We show the existence and properties of generalized Lebesgue-Stieltjes integrals of compositions phi (X) with respect to a given Holder path Y. These results are then used, together with Doss' transform, to obtain existence and, in a certain sense, uniqueness results for differential equations in Rn driven by Holder paths and involving coefficients of bounded variation. Examples include equations with discontinuous coefficients driven by paths of two-dimensional fractional Brownian motions. |
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ISSN: | 0246-0203 1778-7017 |
DOI: | 10.1214/22-AIHP1308 |