Related papers: Integration of rough paths - the truncated variati…

We establish a universal approximation theorem for signatures of rough paths that are not necessarily weakly geometric. By extending the path with time and its rough path bracket terms, we prove that linear functionals of the signature of…

We introduce the class of "smooth rough paths" and study their main properties. Working in a smooth setting allows us to discard sewing arguments and focus on algebraic and geometric aspects. Specifically, a Maurer-Cartan perspective is the…

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…

Lyon's rough paths give an algebraic and analytic framework for Stieltjes integrals in a regime of low regularity where the usual Riemann-Stieltjes integral does not converge. Before we may rigorously define rough paths, we start with the…

This is a review paper on recent work about the connections between rough path theory, the Connes-Kreimer Hopf algebra on rooted trees and the analysis of finite and infinite dimensional differential equation. We try to explain and motivate…

A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to…

We prove via a direct fixpoint argument the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite $p$-variation with $p \in [1,2)$. An application to the Feynman-Kac…

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…

Since the breakthrough in rough paths theory for stochastic ordinary differential equations (SDEs), there has been a strong interest in investigating the rough differential equation (RDE) approach and its numerous applications. Rough path…

Alternative iterative methods for a nonexpansive mapping in a Banach space are proposed and proved to be convergent to a common solution to a fixed point problem and a variational inequality. We give rates of asymptotic regularity for such…

The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete…

We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical method. The contribution of this paper is threefold. First, we…

Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.

This paper establishes a comprehensive concentration theory for truncated signatures of Gaussian rough paths. The signature of a path, defined as the collection of all iterated integrals, provides a complete description of its geometric…

In this paper, we extend the concept of split variational inequality problems from Hilbert spaces to Banach spaces. Then we apply the Fan-KKM theorem to prove the existence of solutions to some split variational inequality problems and some…

Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…

We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…

We consider a real-valued path; it is possible to associate a tree to this path, and we explore the relations between the tree, the properties of $p$-variation of the path, and integration with respect to the path. In particular, the…

We derive explicit distance bounds for Stratonovich iterated integrals along two Gaussian processes (also known as signatures of Gaussian rough paths) based on the regularity assumption of their covariance functions. Similar estimates have…

Consider the problem of inverse scattering of time-harmonic point sources from an infinite, penetrable rough interface with bounded obstacles buried in the lower half-space, where the interface is assumed to be a local perturbation of a…