Related papers: On the rough-paths approach to non-commutative sto…
We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such…
In this paper, we consider a complex-valued d-dimensional fractional Brownian motion defined on the closure of the complex upper half-plane, called analytic fractional Brownian motion. This process has been introduced by the second author…
The paper studies a non-linear transformation between Brownian martingales, which is given by the inverse of the pricing operator in the mathematical finance terminology. Subsequently, the solvability of systems of equations corresponding…
We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a…
The trace formula for the evolution operator associated with nonlinear stochastic flows with weak additive noise is cast in the path integral formalism. We integrate over the neighborhood of a given saddlepoint exactly by means of a smooth…
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…
Standard chance constrained control algorithms typically rely on the assumption that uncertainties in vehicle states obey Gaussian statistics. Highly nonlinear systems tend to disrupt Gaussianity, challenging standard chance-constrained…
In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Le\~ao, Ohashi and Russo and, in contrast to previous works, our methodology…
In this paper we prove the strong averaging principle for a slow-fast system of rough differential equations. The slow and the fast component of the system are driven by a rather general random rough path and Brownian rough path,…
We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the…
Based on a dyadic approximation of It\^o integrals, we show the existence of It\^o c\`adl\`ag rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension…
After an overview of noncommutative differential calculus, we construct parts of it explicitly and explain why this construction agrees with a fuller version obtained from the theory of operads.
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…
For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect…
Using noncommutative deformed canonical commutation relations, a model describing a noncommutative complex scalar field theory is considered. Using the path integral formalism, the noncommutative free and exact propagators are calculated to…
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…
New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a numerical analysis point of view, stochastic differential…
We give an overview of the recent approach to the integration of rough paths that reduces the problem to classical Young integration. As an application, we extend an argument of Schwartz to rough differential equations, and prove the…