Regularity of the Itô-Lyons map

Abstract

We show in this note that the Itô-Lyons solution map associated to a rough differential equation is Fréchet differentiable when understood as a map between some Banach spaces of controlled paths. This regularity result provides an elementary approach to Taylor-like expansions of Inahama-Kawabi type for solutions of rough differential equations depending on a small parameter, and makes the construction of some natural dynamics on the path space over any compact Riemannian manifold straightforward, giving back Driver’s flow as a particular case.