Related papers: Rough differential equations with unbounded drift …
We consider a system of differential equations in a fast long range dependent random environment and prove a homogenization theorem involving multiple scaling constants. The effective dynamics solves a rough differential equation, which is…
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the…
We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…
We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a density for t in (0,T] provided (i) the vector fields…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
We prove a well-posedness result for stochastic Allen-Cahn type equations in a bounded domain coupled with generic boundary conditions. The (nonlinear) flux at the boundary aims at describing the interactions with the hard walls and is…
In this work, we will show the existence and uniqueness of the solution to the semi linear stochastic differential equations driven by weighted fractional Brownian motion with delay. We also prove smoothness of the density of the solution…
We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity conditions in the sense of Malliavin calculus, we establish…
We give an unified framework to solve rough differential equations. Based on flows, our approach unifies the former ones developed by Davie, Friz-Victoir and Bailleul. The main idea is to build a flow from the iterated product of an almost…
We study the long-time dynamics of the nonlinear processes modeled by diffusion-transport partial differential equations in non-divergence form with drifts. The solutions are subject to some inhomogeneous Dirichlet boundary condition.…
We prove existence and uniqueness of mild and generalized solutions for a class of stochastic semilinear evolution equations driven by additive Wiener and Poisson noise. The non-linear drift term is supposed to be the evaluation operator…
We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form $\partial _tu-A_tu-f=(\dot X_t(x) \cdot \nabla + \dot Y_t(x))u$ on $[0,T]\times\mathbb{R}^d.$ To do so, we introduce a concept of…
We provide a rather general perfection result for crude local semi-flows taking values in a Polish space showing that a crude semi-flow has a modification which is a (perfect) local semi-flow which is invariant under a suitable metric…
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…
Stochastic differential equations (SDEs) on compact foliated spaces were introduced a few years ago. As a corollary, a leafwise Brownian motion on a compact foliated space was obtained as a solution to an SDE. In this paper we construct…
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 show that the unique solution to a semilinear stochastic differential equation with almost periodic coefficients driven by a fractional Brownian motion is almost periodic in a sense related to random dynamical systems. This type of…
We prove that, in a two-dimensional strip, a steady flow of an ideal incompressible fluid with no stationary point and tangential boundary conditions is a shear flow. The same conclusion holds for a bounded steady flow in a half-plane. The…
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible…
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…