Related papers: Canonical RDEs and general semimartingales as roug…
This work develops moment bounds for the controlled rough path norm of the solution of semilinear rough partial differential equations.~The novel aspects are two-fold: first we consider rough paths of low time regularity…
We put forward a general framework for the study of a pathwise central limit theorem (CLT) and a moderate deviation principle (MDP) for stochastic partial differential equations perturbed with a small multiplicative linear noise by means of…
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…
We generalize Lyons' rough paths theory in order to give a pathwise meaning to some nonlinear infinite-dimensional evolution equation associated to an analytic semigroup and driven by an irregular noise. As an illustration, we discuss a…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…
This work focuses on the Laplace approximation for the rough differential equation (RDE) driven by mixed rough path with as . Firstly, based on geometric rough path lifted from mixed fractional Brownian motion (fBm), the Schilder-type large…
We introduce novel equations, in the spirit of rough path theory, that parametrize level sets of intrinsically regular maps on the Heisenberg group with values in $\mathbb{R}^2$. These equations can be seen as a sub-Riemannian counterpart…
We study rough differential equations driven by controlled rough paths in the level-$2$ regime $1/3<\alpha\le 1/2$. Given a reference rough path $\mathbf X=(1,X,\mathbb X)$ and an $\mathbf X$-controlled driver $\mathbf Z=(Z,Z')$, we first…
We consider the rough differential equation $dY=f(Y)d\bm \om$ where $\bm \om=(\omega,\bbomega)$ is a rough path defined by a Brownian motion $\omega$ on $\RR^m$. Under the usual regularity assumption on $f$, namely $f\in C^3_b (\RR^d,…
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadratic semimartingales introduced by Barrieu and El Karoui…
Unique existence of analytically strong solutions to stochastic partial differential equations (SPDE) with drift given by the subdifferential of a quasi-convex function and with general multiplicative noise is proven. The proof applies a…
A summary of recent contributions in the field of rough partial differential equations is given. For that purpose we rely on the formalism of ``unbounded rough driver''. We present applications to concrete models including…
We apply the ``consistent discretization'' technique to the Regge action for (Euclidean and Lorentzian) general relativity in arbitrary number of dimensions. The result is a well defined canonical theory that is free of constraints and…
We study robust nonlinear filtering for stochastic models driven by L\'evy processes, where the signal and observation processes are coupled through common Brownian and jump noise. Robustness, defined as the continuous dependence of the…
In this paper, we investigate the averaging principle for a class of semilinear slow-fast partial differential equations driven by finite-dimensional rough multiplicative noise. Specifically, the slow component is driven by a general random…
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.…
We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a martingale problem and show its well-posedness.We then…
The G-Brownian-motion-driven stochastic differential equations (G-SDEs) as well as the G-expectation, which were seminally proposed by Peng and his colleagues, have been extensively applied to describing a particular kind of uncertainty…
We propose a definition of viscosity solutions to fully nonlinear PDEs driven by a rough path via appropriate notions of test functions and rough jets. These objects will be defined as controlled processes with respect to the driving rough…
We show how to apply ideas from the theory of rough paths to the analysis of low-regularity solutions to non-linear dispersive equations. Our basic example will be the one dimensional Korteweg--de Vries (KdV) equation on a periodic domain…