Related papers: A regularization approach to functional It\^o calc…
The aim of this paper is to provide a comprehensive analysis of the path-dependent Stochastic Volterra Integral Equations (SVIEs), in which both the drift and the diffusion coefficients are allowed to depend on the whole trajectory of the…
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…
We prove a rough It\^o formula for path-dependent functionals of $\alpha$-H\"older continuous paths for $\alpha\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.
In this work, we analytically derive the exact closed dynamical equations for a liquid with short-ranged interactions in large spatial dimensions using the same statistical mechanics tools employed to analyze Brownian motion. Our derivation…
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the…
We propose novel smooth approximations to the classical rounding function, suitable for differentiable optimization and machine learning applications. Our constructions are based on two approaches: (1) localized sigmoid window functions…
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first establish the well-posedness of the state equation, and then we…
We prove the existence of viscosity solutions for fractional semilinear elliptic PDEs on open balls with bounded exterior condition in dimension $d\geq 1$. Our approach relies on a tree-based probabilistic representation based on a…
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…
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward…
Combining fractional calculus and the Rough Path Theory we study the existence and uniqueness of mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral…
In this paper, we study scalar conservation laws where the flux is driven by a geometric H\"older $p$-rough path for some $p\in (2,3)$ and the forcing is given by an It\^o stochastic integral driven by a Brownian motion. In particular, we…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The…
This paper is concerned with higher H\"older regularity for viscosity solutions to non-translation invariant second order integro-PDEs, compared to \cite{mou2018}. We first obtain $C^{1,\alpha}$ regularity estimates for fully nonlinear…
A strong comparison principle for semicontinuous viscosity solutions of the prescribed mean curvature equation is considered. The difficulties of the problem come from the fact that this nonlinear equation is non-uniformly elliptic, does…
The regularization of a new problem, namely the three-body problem, using 'similar' coordinate system is proposed. For this purpose we use the relation of 'similarity', which has been introduced as an equivalence relation in a previous…
We consider a class of infinite-dimensional optimization problems in which a distributed vector-valued variable should pointwise almost everywhere take values from a given finite set $\mathcal{M}\subset\mathbb{R}^m$. Such hybrid…
We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…
The It\^o formula, originated by K. It\^o, is focus on the stochastic calculus, where many stochastic processes can be placed under the framework of rough paths. In rough path theory, It\^o formulas have been proved for rough paths with…
We introduce a new notion of "regularity structure" that provides an algebraic framework allowing to describe functions and / or distributions via a kind of "jet" or local Taylor expansion around each point. The main novel idea is to…