Related papers: Rough sheets
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.
We study rectangles inscribed in lines in the plane by parametrizing these rectangles in two ways, one involving slope and the other aspect ratio. This produces two paths, one that finds rectangles with specified slope and the other…
We give several unequivalent notions of convergency of meromorphic functions and more generally meromorphic mappings (strong, weak, $\Gamma $-convergency and some others). Relations between them are investigated. A version of Rouche theorem…
This paper shows in detail the application of a new stochastic approach for the characterization of surface height profiles, which is based on the theory of Markov processes. With this analysis we achieve a characterization of the scale…
In this work we deal with the so-called path convexities, defined over special collections of paths. For example, the collection of the shortest paths in a graph is associated with the well-known geodesic convexity, while the collection of…
Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…
Using rough path theory, we provide a pathwise foundation for stochastic It\^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To…
In this paper, rough approximations of Cayley graphs are studied and rough edge Cayley graphs are introduced. Furthermore, a new algebraic definition called pseudo-Cayley graphs containing Cayley graphs is proposed. Rough approximation is…
The paper gives an overview of recent advances in structural equation modeling. A structural equation model is a multivariate statistical model that is determined by a mixed graph, also known as a path diagram. Our focus is on the…
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are robustness to smooth additive and…
We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…
Hyperplane is a set of non-injectivity of the spherical Radon transform (SRT) in the space of continuous functions in R^d. In this article, for the reconstruction of an unknown function f from C(R^3) (the support can be non-compact), using…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
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…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
We study in this article a new pointwise estimate for ''rough'' singular integral operators. From this pointwise estimate we will derive Sobolev type inequalities in a variety of functional spaces.
We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running…
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…
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…
Direct Numerical Simulations are used to solve turbulent flow and heat transfer over a variety of rough walls in a channel. The wall geometries are exactly resolved in the simulations. The aim is to understand the effect of roughness…