Related papers: Reflected rough differential equations via control…
We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some…
We study controlled differential equations with unbounded drift terms, where the driving paths is $\nu$ - H\"older continuous for $\nu \in (\frac{1}{3},\frac{1}{2})$, so that the rough integral are interpreted in the Gubinelli sense…
We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide…
We consider controlled differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A. M. Davie who considers first and second order schemes. In order to implement the general case…
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 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…
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.
This paper establishes the existence and uniqueness of solutions for rough differential equations driven by reduced rough paths with low regularity, specifically in the roughness regime $\frac{1}{3} < \alpha \leq \frac{1}{2}$. While the…
We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic…
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…
In this paper we solve real-valued rough differential equations (RDEs) reflected on an irregular boundary. The solution $Y$ is constructed as the limit of a sequence $(Y^n)_{n\in\mathbb{N}}$ of solutions to RDEs with unbounded drifts…
In this paper, we investigate reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be viewed as probabilistic representations of nonlinear rough partial differential equations (rough PDEs) or…
We prove existence of global solutions for differential equations driven by a geometric rough path under the condition that the vector fields have linear growth. We show by an explicit counter-example that the linear growth condition is not…
We introduce a notion of rough paths on embedded submanifolds and demonstrate that this class of rough paths is natural. On the way we develop a notion of rough integration and an efficient and intrinsic theory of rough differential…
We propose a quantitative direct method of proving the stability result for Gaussian rough differential equations in the sense of Gubinelli \cite{gubinelli}. Under the strongly dissipative assumption of the drift coefficient function, we…
We develop the structure theory for transformations of weakly geometric rough paths of bounded $1 < p$-variation and their controlled paths. Our approach differs from existing approaches as it does not rely on smooth approximations. We…
This paper presents a unified exposition of rough path methods applied to optimal control, robust filtering, and optimal stopping, addressing a notable gap in the existing literature where no single treatment covers all three areas. By…
We give a dimension-free Euler estimation of solution of rough differential equations in term of the driving rough path. In the meanwhile, we prove that, the solution of rough differential equation is close to the exponential of a Lie…
We give an elementary proof that Davie's definition of a solution to a rough differential equation and the notion of solution given by Bailleul in (Flows driven by rough paths) coincide. This provides an alternative point on view on the…
We show how to use geometric arguments to prove that the terminal solution to a rough differential equation driven by a geometric rough path can be obtained by driving the same equation by a piecewise linear path. For this purpose, we…