Controlled B-series, controlled Runge-Kutta methods and controlled rough differential equations

Abstract

We develop controlled B-series and controlled Runge-Kutta methods as extensions of classical B-series and Runge-Kutta theory to controlled-driven rough differential equations. The driving signal is a path controlled by an underlying $\alpha$-Hölder step-$2$ rough path, with $\alpha \in (1/3,1/2]$, as arises when the output of one rough system drives another. Controlled B-series retain the classical rooted-tree and elementary-differential structure, while incorporating driver-dependent coefficients defined recursively through controlled rough integration. We establish finite-order expansions of the exact solution and its controlled Runge-Kutta approximation, and derive corresponding tree-based order conditions. Under suitable smoothness, solvability, stability, and boundedness assumptions, matching through tree order $p$ yields local error $O(|t-s{|}^{(p+1)\alpha })$ and global error $O(h^{(p+1)\alpha -1})$, provided $(p+1)\alpha >1$. The standard rough differential equation formulation is recovered when the controlled driver is the reference path itself, and the classical time-driven case recovers the usual B-series and Runge-Kutta methods. We further construct a simplified method using only increments of the controlled driver. Segmentwise canonical lifting of its piecewise linear interpolation gives explicit tree coefficients and reduces the third-order conditions to the classical ones. Assuming a Wong-Zakai solution-approximation rate $r_0>0$, the simplified method has global error $O(h^{\min \{r_0,(p+1)\alpha -1\}})$. Numerical experiments with fractional Brownian controlled drivers illustrate the resulting convergence behaviour.

36 pages