Non-explosion of rough differential equations with applications to stochastic flows
Event details
| Date | 20.05.2026 |
| Hour | 15:00 › 16:00 |
| Speaker | Kexing Ying |
| Location | |
| Category | Conferences - Seminars |
| Event Language | English |
We study rough differential equations (RDEs) with unbounded coefficients and provide sharp conditions for non-explosion. This allows us to show the existence of a global continuous solution flow for stochastic differential equations (SDEs). Already in the additive noise case, this question is subtle and in fact, noise induced path-wise explosion can be observed for a class of rotating SDEs implying the lack of a continuous solution flow. This result is then extended to the branched rough path setting allowing us to cover the case of SDEs driven by fractional Brownian motion with Hurst parameter $H > \frac{1}{4}$.
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Organizer
- Te-Chun Wang Xue-Mei Li