Differential equations driven by variable order Hölder noise and the regularizing effect of delay

ABSTRACT

In this article, we extend the framework of rough paths to processes of variable Hölder exponent or variable order paths. A typical example of such paths is the multifractional Brownian motion, where the Hürst parameter of a fractional Brownian motion is considered to be a function of time. We show how a class of multiple discrete delay differential equations driven by signals of variable order are especially well suited to be studied in a pathwise sense. In fact, under some assumptions on the Hölder regularity functions of the driving signal, the local Hölder regularity of the variable order signal may be close to zero, without more than two times differentiable diffusion coefficients (in contrast to higher regularity requirements known from constant order rough path theory). Furthermore, we give a canonical algorithm to construct the iterated integral of variable order on the domain unit square, by constructing the iterated integrals on some well-chosen strip around the diagonal of unit square, and then extending it to the whole domain using Chen's relation. We show how we can apply this to construct the rough path for a multifractional Brownian motion. At last, we generalize some fundamental results relating to differential equations from rough paths theory to the Hölder spaces of variable order.

KEYWORDS:

• Delayed differential equations
• rough paths
• multifractional Brownian motion
• variable order spaces
• stochastic differential equations

2000 MATHEMATICS SUBJECT CLASSIFICATIONS:

• 60H10
• 60H05
• 60G18
• 60G22
• 60G15

Disclosure statement

No potential conflict of interest was reported by the author.