Sensitivity of rough differential equations: an approach through the Omega lemma

Abstract

The It{\^o} map assigns the solution of a Rough Differential Equation, a generalization of an Ordinary Differential Equation driven by an irregular path, when existence and uniqueness hold. By studying how a path is transformed through the vector field which is integrated, we prove that the It{\^o} map is H{\"o}lder or Lipschitz continuous with respect to all its parameters. This result unifies and weaken the hypotheses of the regularity results already established in the literature.