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Differential equations driven by rough paths with jumps |
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| Authors: | Peter K. Friz Huilin Zhang |
| Affiliation: | 1. Institut für Mathematik, Technische Universität Berlin, and Weierstraß-Institut für Angewandte Analysis und Stochastik, Berlin, Germany;2. Institute of Mathematics, Shandong University, Jinan, China;3. Institut für Mathematik, Technische Universität Berlin, Germany |
| Abstract: | We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed. |
| Keywords: | primary 60H99 secondary 60H10 Rough paths with jumps Itô stochastic and rough differential equations with jumps General semimartingales Limit theorems |
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