25 research outputs found
A flow-based approach to rough differential equations
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.Comment: 63 page