Article ID Journal Published Year Pages File Type
5130036 Stochastic Processes and their Applications 2017 26 Pages PDF
Abstract

In this note we give several methods to construct nontrivial solutions to the equation dyt=σ(yt)dxt, where x is a γ-Hölder Rd-valued signal with γ∈(1/2,1) and σ is a function behaving like a power function |ξ|κ, with κ∈(0,1). In this situation, classical Young integration techniques allow to get existence and uniqueness results whenever γ(κ+1)>1, while we focus on cases where γ(κ+1)≤1. Our analysis then relies on Zähle's extension (Zähle, 1998) of Young's integral allowing to cover the situation at hand.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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