Convergence rate in the splitting-up method for rough differential equations

Abstract

In this note we construct solutions to rough differential equations ${\rm d} Y = f(Y) \,{\rm d} X$ with a driver $X \in C^\alpha([0,T];\mathbb{R}^d)$, $\frac13 < \alpha \le \frac12$, using a splitting-up scheme. We show convergence of our scheme to solutions in the sense of Davie by a new argument and give a rate of convergence.