Related papers: Doob--Meyer for rough paths

We consider differential equations driven by rough paths and study the regularity of the laws and their long time behavior. In particular, we focus on the case when the driving noise is a rough path valued fractional Brownian motion with…

We consider a broad class of semilinear SPDEs with multiplicative noise driven by a finite-dimensional Wiener process. We show that, provided that an infinite-dimensional analogue of H\"ormander's bracket condition holds, the Malliavin…

We use simple sub-Riemannian techniques to prove that an arbitrary geometric p-rough path in the sense of Lyons (98) is the limit in sup-norm of a sequence of canonically lifted smooth paths, which are uniformly bounded in p-variation,…

We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a density for t in (0,T] provided (i) the vector fields…

This paper revisits the concept of rough paths of inhomogeneous degree of smoothness (geometric \Pi-rough paths in our terminology) sketched by Lyons ("Differential equations driven by rough signals", Revista Mathematica Iber. Vol 14, Nr.…

We study a class of linear first and second order partial differential equations driven by weak geometric $p$-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving…

In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for delay equations driven by rough paths. We then apply our results…

Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…

Lyons' Rough Path theory is currently formulated in p-variation topology. We extend his main-result, the Universal Limit Theorem, to a stronger Hoelder topology. Several approximations to Brownian Rough Paths are studied. As application of…

Fourier normal ordering \cite{Unt09bis} is a new algorithm to construct explicit rough paths over arbitrary H\"older-continuous multidimensional paths. We apply in this article the Fourier normal ordering ordering algorithm to the…

We construct in this article an explicit geometric rough path over arbitrary $d$-dimensional paths with finite $1/\alpha$-variation for any $\alpha\in(0,1)$. The method may be coined as 'Fourier normal ordering', since it consists in a…

We study a class of nonlinear Burgers-type stochastic partial differential equations driven by additive space-time white noise in one spatial dimension. Building on the rough path framework initiated by Hairer, which provides a pathwise…

We discuss stochastic calculus for large classes of Gaussian processes, based on rough path analysis. Our key condition is a covariance measure structure combined with a classical criterion due to Jain and Monrad [Ann. Probab. 11 (1983)…

We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…

We establish two results concerning a class of geometric rough paths $\mathbf{X}$ which arise as Markov processes associated to uniformly subelliptic Dirichlet forms. The first is a support theorem for $\mathbf{X}$ in $\alpha$-H\"older…

We consider stochastic differential equations of the form $dY_t=V(Y_t)\,dX_t+V_0(Y_t)\,dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,\ldots,V_d)$ satisfy H\"{o}rmander's…

We introduce the class of "smooth rough paths" and study their main properties. Working in a smooth setting allows us to discard sewing arguments and focus on algebraic and geometric aspects. Specifically, a Maurer-Cartan perspective is the…

We generalize Lyons' rough paths theory in order to give a pathwise meaning to some nonlinear infinite-dimensional evolution equation associated to an analytic semigroup and driven by an irregular noise. As an illustration, we discuss a…

We give meaning to linear and semi-linear (possibly degenerate) parabolic partial differential equations with (affine) linear rough path noise and establish stability in a rough path metric. In the case of enhanced Brownian motion (Brownian…

We consider a rough differential equation of the form \(dY_t=\sum_i V_i(Y_t)d\boldsymbol{X}^i_t+V_0(Y_t)dt \), where \(\boldsymbol{X}_t \) is a Markovian rough path. We demonstrate that if the vector fields \((V_i)_{0\leq i\leq d} \)…