Deterministic Integral and Ordinary Differential Equations over Irregular Paths

Abstract

We define a deterministic integral with respect to irregular paths as a limit of standard line integrals and completely describe a class of all paths for which this integral exists for functions with H\"older exponent in the range of (0,1]. With the developed integral calculus, we study the existence, uniqueness and continuity of solution of time- and path-dependent ordinary differential equations driven by irregular paths in traditional H\"older spaces. These results can be viewed as a supplement to the Young-Lyons-Gubinelli integration theory, in particular, for H\"older exponents less than 1/3.