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- W1972736027 abstract "We consider controlled ordinary differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A.M. Davie who considers first and second order schemes. In order to implement the general case we make systematic use of geodesic approximations in the free nilpotent group. Such Euler estimates have powerful applications. By a simple limit argument they apply to rough path differential equations (RDEs) in the sense of T. Lyons and hence also to stochastic differential equations driven by Brownian motion or other random rough paths with sufficient integrability. In the context of the latter, we obtain strong remainder estimates in stochastic Taylor expansions a la Azencott, Ben Arous, Castell and Platen. Although our findings appear novel even in the case of driving Brownian motion our main insight is the genuine rough path nature of (quantitative) remainder estimates in stochastic Taylor expansions. There are several other applications of which we discuss in detail Lq-convergence in Lyons' Universal Limit Theorem and moment control of RDE solutions." @default.
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- W1972736027 date "2008-01-01" @default.
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- W1972736027 title "Euler estimates for rough differential equations" @default.
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- W1972736027 doi "https://doi.org/10.1016/j.jde.2007.10.008" @default.
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