Related papers: General Rough integration, Levy Rough paths and a …
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem, we propose a novel approach based on rough path theory that…
The paper is devoted to the relationship between the continuous Markovian description of Levy flights developed previously and their equivalent representation in terms of discrete steps of a wandering particle, a certain generalization of…
We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under…
In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations…
Whenever an It\^o-Wentsel type of formula holds for composition of flows of a certain differential dynamics, there exists locally a decomposition of the corresponding flow according to complementary distributions (or foliations, in the case…
A branched rough path $X$ consists of a rough integral calculus for $X \colon [0, T] \to \mathbb R^d$ which may fail to satisfy integration by parts. Using Kelly's bracket extension [Kel12], we define a notion of pushforward of branched…
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…
Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…
These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…
In this paper, we build the foundation for a theory of controlled rough paths on manifolds. A number of natural candidates for the definition of manifold valued controlled rough paths are developed and shown to be equivalent. The theory of…
The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path…
In this work, we introduce a theory of stochastic integration with respect to symmetric $\alpha$-stable cylindrical L\'evy processes. Since $\alpha$-stable cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
On a given Riemann surface, we construct a path integral based on the Liouville action functional with imaginary parameters. The construction relies on the compactified Gaussian Free Field (GFF), which we perturb with a curvature term and…
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'evy type stochastic differential equation. In…
It is known, since the seminal work [T. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana, 14 (1998)], that the solution map associated to a controlled differential equation is locally Lipschitz continuous in…
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…
We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of $p$-th variation along a sequence of time…
From the point of view of stochastic analysis the Caputo and Riemann-Liouville derivatives of order $\al \in (0,2)$ can be viewed as (regularized) generators of stable L\'evy motions interrupted on crossing a boundary. This interpretation…
We establish an It\^o-type formula for finite $p$-variation paths with jumps for arbitrary $p\geq 1$. The formula is stated in a fully pathwise form and separates the reduced rough integral from explicit left- and right-jump correction…
L\'evy-type walks with correlated jumps, induced by the topology of the medium, are studied on a class of one-dimensional deterministic graphs built from generalized Cantor and Smith-Volterra-Cantor sets. The particle performs a standard…