On Itô differential equation in rough path theory
arXiv:1306.2589
Abstract
The solution of rough differential equation, driven by the Itô signature of a continuous local martingale, exists uniquely a.s. when the vector field is Lip(β) for β> 1, and coincides a.s. with the Itô signature of the solution of parallel stochastic differential equation. Moreover, the Itô solution can be recovered pathwisely by concatenating discounted Stratonovich solutions.