A flow-based approach to rough differential equations

Ismaël Bailleul (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

These are lecture notes for a Master 2 course on rough differential equations driven by weak geometric Holder p-rough paths, for any p>2. They provide a short, self-contained and pedagogical account of the theory, with an emphasis on flows. The theory is illustrated by some now classical applications to stochastic analysis, such as the basics of Freidlin-Wentzel theory of large deviations for diffusions, or Stroock and Varadhan support theorem.

Domaines: Analyse classique [math.CA]; Probabilités [math.PR]

Ismaël Bailleul. A flow-based approach to rough differential equations. 2014. ⟨hal-00979563⟩