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arxiv: 1708.04659 · v1 · pith:34HQTHKFnew · submitted 2017-08-15 · 🧮 math.PR

Rough differential equations with power type nonlinearities

classification 🧮 math.PR
keywords roughdifferentialequationsgammakappapowersolutionswhen
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In this note we consider differential equations driven by a signal $x$ which is $\gamma$-H\"older with $\gamma>1/3$, and is assumed to possess a lift as a rough path. Our main point is to obtain existence of solutions when the coefficients of the equation behave like power functions of the form $|\xi|^{\kappa}$ with $\kappa\in(0,1)$. Two different methods are used in order to construct solutions: (i) In a 1-d setting, we resort to a rough version of Lamperti's transform. (ii) For multidimensional situations, we quantify some improved regularity estimates when the solution approaches the origin.

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