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Random dynamical systems, rough paths and rough flows

Authors :
Bailleul, Ismael
Riedel, Sebastian
Scheutzow, Michael
Publication Year :
2016

Abstract

We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such lifts induce random dynamical systems. In particular, our results imply that rough differential equations driven by the lift of fractional Brownian motion in the sense of Friz-Victoir induce random dynamical systems.<br />Comment: 27 pages

Subjects

Subjects :
Mathematics - Probability
60H10

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1612.01955
Document Type :
Working Paper