Related papers: Integration of geometric rough paths
In recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very…
We discuss a recent approach to quantum field theoretical path integration on noncommutative geometries which imply UV/IR regularising finite minimal uncertainties in positions and/or momenta. One class of such noncommutative geometries…
Using truncated variation techniques we obtain an improved version of the Loeve-Young inequality for the Riemann-Stieltjes integrals driven by rough paths. This allowed us to strenghten some result on the existence of solutions of integral…
We prove existence and uniqueness results for (mild) solutions to some non-linear parabolic evolution equations with a rough forcing term. Our method of proof relies on a careful exploitation of the interplay between the spatial and time…
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 provide a unified analytic approach to study stationary states of controlled differential equations driven by rough paths, using the framework of random dynamical systems and random attractors. Part I deals with driving paths of finite…
We study the convergence in rough path topology of a certain class of discrete processes, the hidden Markov walks, to a Brownian motion with an area anomaly. This area anomaly, which is a new object, keeps track of the time-correlation of…
This paper revisits the concept of rough paths of inhomogeneous degree of smoothness (geometric \Pi-rough paths in our terminology) sketched by Lyons ("Differential equations driven by rough signals", Revista Mathematica Iber. Vol 14, Nr.…
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…
The non-linear sewing lemma constructs flows of rough differential equations from a braod class of approximations called almost flows. We consider a class of almost flows that could be approximated by solutions of ordinary differential…
In the context of two illustrative examples from supersymmetric quantum mechanics we show that the semi-classical analysis of the path integral requires complexification of the configuration space and action, and the inclusion of complex…
In this article, we show how the theory of rough paths can be used to provide a notion of solution to a class of nonlinear stochastic PDEs of Burgers type that exhibit too high spatial roughness for classical analytical methods to apply. In…
Motivated by recent applications in rough volatility and regularity structures, notably the notion of singular modelled distribution, we study paths, rough paths and related objects with a quantified singularity at zero. In a pure path…
In line with the notion of probabilistic rough paths introduced in the previous contribution \cite{salkeld2021Probabilistic}, we address corresponding random controlled rough paths (first introduced in \cite{2019arXiv180205882.2B}), the…
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…
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…
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 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…
The path integral of a gauge theory is studied in Coulomb-like gauges. The Christ-Lee terms of operator ordering are reproduced {\it{within}} the path integration framework. In the presence of fermions, a new operator term, in addition to…
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…