Rough differential equations with path-dependent coefficients
Annales Henri Lebesgue, Volume 6 (2023), pp. 1-29.

Metadata

Keywords rough differential equation, path-dependent coefficients, functional Ito calculus, rough paths

Abstract

We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical Dupire derivatives.


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