Related papers: Reflected rough differential equations
This paper studies a stochastic functional differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2, constrained to be reflected at 0. We prove the existence of solutions using the Euler method. However,…
This work focuses on the Laplace approximation for the rough differential equation (RDE) driven by mixed rough path with as . Firstly, based on geometric rough path lifted from mixed fractional Brownian motion (fBm), the Schilder-type large…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…
We integrate in closed implicit form the Navier-Stokes equations for an incompressible fluid and the kinematical dynamo equation, in smooth manifolds and Euclidean space. This integration is carried out by applying Stochastic Differential…
This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a…
We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration…
The dynamics of rough differential equations (RDEs) has recently received a lot of interest. For example, the existence of local random center manifolds for RDEs has been established. In this work, we present an approximation for local…
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and…
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 introduce a theoretical framework for differentiable surface evolution that allows discrete topology changes through the use of topological derivatives for variational optimization of image functionals. While prior methods for inverse…
In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…
We establish $L^p$-type universal approximation theorems for general and non-anticipative functionals on suitable rough path spaces, showing that linear functionals acting on signatures of time-extended rough paths are dense with respect to…
In this paper, we establish the existence of the solutions $ (X, L)$ of reflected stochastic differential equations with possible anticipating initial random variables. The key is to obtain some substitution formula for Stratonovich…
This article introduces the splitting method to systems responding to rough paths as external stimuli. The focus is on nonlinear partial differential equations with rough noise but we also cover rough differential equations. Applications to…
We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter $H$ ($1/4<H<1/2$), we prove the Laplace-type…
Differential equations are derived for a continuous limit of iterated Schwarzian reflection of analytic curves, and solutions are interpreted as geodesics in an infinite-dimensional symmetric space geometry.
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely…
We propose a theory of linear differential equations driven by unbounded operator-valued rough signals. As an application we consider rough linear transport equations and more general linear hyperbolic symmetric systems of equations driven…
We study a new formulation for the eikonal equation |grad u| =1 on a bounded subset of R^2. Considering a field P of orthogonal projections onto 1-dimensional subspaces, with divergence bounded in L^2, we prove existence and uniqueness for…