Related papers: Path-dependent rough differential equations
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 recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very…
We continue the approach in Part I \cite{duchong19} to study stationary states of controlled differential equations driven by rough paths, using the framework of random dynamical systems and random attractors. Part II deals with driving…
We consider the rough differential equation $dY=f(Y)d\bm \om$ where $\bm \om=(\omega,\bbomega)$ is a rough path defined by a Brownian motion $\omega$ on $\RR^m$. Under the usual regularity assumption on $f$, namely $f\in C^3_b (\RR^d,…
We consider multi-dimensional Gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of stochastic area(s). Gaussian rough paths are constructed with a variety of weak and strong approximation…
In this work we deal with the selection problem of flows of an irregular vector field. We first summarize an example from \cite{CCS} of a vector field $b$ and a smooth approximation $b_\epsilon$ for which the sequence $X^\epsilon$ of flows…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
We study controlled differential equations driven by a rough path (in the sense of T. Lyons) with an additional, possibly unbounded drift term. We show that the equation induces a solution flow if the drift grows at most linearly.…
In this article we extend the framework of rough paths to processes of variable H\"older exponent or variable order paths. We show how a class of multiple discrete delay differential equations driven by signals of variable order are…
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…
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.…
Motivated by the recent advances in the theory of stochastic partial differential equations involving nonlinear functions of distributions, like the Kardar-Parisi-Zhang (KPZ) equation, we reconsider the unique solvability of one-dimensional…
This paper tackles the approximation of surface diffusion flow using a Cahn--Hilliard-type model. We introduce and analyze a new second order variational phase field model which associates the classical Cahn--Hilliard energy with two…
The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct…
Using some basic notions from the theory of Hopf algebras and quasi-shuffle algebras, we introduce rigorously a new family of rough paths: the quasi-geometric rough paths. We discuss their main properties. In particular, we will relate them…
We explore the limit of stochastic differential equations driven by some random processes satisfying singularly perturbed second order stochastic differential equations. The main tool we employ is the universal limit theorem in rough path…
We investigate a family of approximate multi-step proximal point methods, accelerated by implicit linear discretizations of gradient flow. The resulting methods are multi-step proximal point methods, with similar computational cost in each…
We consider a system of differential equations in a fast long range dependent random environment and prove a homogenization theorem involving multiple scaling constants. The effective dynamics solves a rough differential equation, which is…
We consider flows of ordinary differential equations (ODEs) driven by path differentiable vector fields. Path differentiable functions constitute a proper subclass of Lipschitz functions which admit conservative gradients, a notion of…
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…