Related papers: Geometric versus non-geometric rough paths
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…
Classes of branched surfaces extend the classes of surfaces or 2-dimensional manifolds satisfying suitable properties and defined in various manners. Reeb spaces of smooth maps of suitable classes into surfaces whose codimensions are…
The signature of a $p$-weakly geometric rough path summarises a path up to a generalised notion of reparameterisation. The quotient space of equivalence classes on which the signature is constant yields unparameterised path space. The study…
An elimination tree of a connected graph $G$ is a rooted tree on the vertices of $G$ obtained by choosing a root $v$ and recursing on the connected components of $G-v$ to obtain the subtrees of $v$. The graph associahedron of $G$ is a…
In this article we investigate the rough paths structure of a process $X_t$ living in a fixed Wiener chaos. Specifically, we formulate various types of rough lifts of $X_t$ and study their properties. As application, we study the…
The goal of these notes is to provide an introduction to rough partial differential equations. For this purpose, we will present the theory of rough paths to the extend as it is required. Applications to stochastic partial differential…
Rough stochastic differential equations (RSDEs) are common generalisations of Ito SDEs and Lyons RDEs and have emerged as new tool in several areas of applied probability, including non-linear stochastic filtering, pathwise stochastic…
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].…
In a recent paper published in Nature, Y.I. Sobolev et al. introduced the concept of trajectoids: convex, rigid objects, which roll without slip or spin on a flat plane along a prescribed periodic, unbounded planar path. A geometric…
This is a review paper on recent work about the connections between rough path theory, the Connes-Kreimer Hopf algebra on rooted trees and the analysis of finite and infinite dimensional differential equation. We try to explain and motivate…
A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to…
Using a combination of recurrent neural networks and signature methods from the rough paths theory we design efficient algorithms for solving parametric families of path dependent partial differential equations (PPDEs) that arise in pricing…
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…
An obstacle representation of a graph is a mapping of the vertices onto points in the plane and a set of connected regions of the plane (called obstacles) such that the straight-line segment connecting the points corresponding to two…
We show that any second order dynamic equation on a configuration space $X\to R$ of nonrelativistic mechanics can be seen as a geodesic equation with respect to some (nonlinear) connection on the tangent bundle $TX\to X$ of relativistic…
This paper explores a geometric approach to constructing quasi-sure solutions for $G$-stochastic differential equations (G-SDEs) under model uncertainty. We propose a pathwise patching methodology that systematically combines…
We want to investigate 'spaces' where paths have a 'weight', or 'cost', expressing length, duration, price, energy, etc. The weight function is not assumed to be invariant up to path-reversion. Thus, 'weighted algebraic topology' can be…
An optimal transport path may be viewed as a geodesic in the space of probability measures under a suitable family of metrics. This geodesic may exhibit a tree-shaped branching structure in many applications such as trees, blood vessels,…
Stochastic differential equations (SDEs) on compact foliated spaces were introduced a few years ago. As a corollary, a leafwise Brownian motion on a compact foliated space was obtained as a solution to an SDE. In this paper we construct…
The shortest path problem is related to many dynamic processes on networks, ranging from routing in communication networks to signaling in molecular interaction networks. When the network is fully known, the shortest path problem can be…