Related papers: Examples of It\^o c\`adl\`ag rough paths
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate,…
We exhibit an explicit natural isomorphism between spaces of branched and geometric rough paths. This provides a multi-level generalisation of the isomorphism of Lejay-Victoir (2006) as well as a canonical version of the It\^o-Stratonovich…
Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely deterministic, calculus via regularization is based on…
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…
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…
The cuspidalization conjecture emerged as an approach of Grothendieck's famous section conjecture. We address a weak form of it by using a mild generalization of a theorem of Uwe Jannsen which describes exactly when the $l$-adic homology of…
We develop a set of techniques that enable us to effectively recover Besov rough analysis from p-variation rough analysis. Central to our approach are new metric groups, in which some objects in rough path theory that have been previously…
In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to…
Main results and techniques of the fractional calculus of variations are surveyed. We consider variational problems containing Caputo derivatives and study them using both indirect and direct methods. In particular, we provide necessary…
Gallagher's theorem describes the multiplicative diophantine approximation rate of a typical vector. We establish a fully-inhomogeneous version of Gallagher's theorem, a diophantine fibre refinement, and a sharp and unexpected threshold for…
We use the theory of trianguline $(\varphi,\Gamma)$-modules over pseudorigid spaces to prove a modularity lifting theorem for certain Galois representations which are trianguline at $p$, including those with characteristic $p$ coefficients.…
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.
In the paper, we consider a type of stochastic differential equations driven by G-L\'evy processes. We prove that a kind of their additive functionals has path independence and extend some known results.
Strong solutions of p-dimensional stochastic differential equations that can be represented locally in explicit simulation form are considered. The following three-way equivalence is established: 1) There exists such a representation from…
Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…
A well-known It\^o formula for finite dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the…
We show how the Hamiltonian lattice loop representation can be cast straightforwardly in the path integral formalism. The procedure is general for any gauge theory. Here we present in detail the simplest case: pure compact QED. We also…
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…
Fix an integer k, and let I(l), l=1,2,..., be a sequence of k-dimensional vectors of multiple Wiener-It\^o integrals with respect to a general Gaussian process. We establish necessary and sufficient conditions to have that, as l diverges,…
We investigate 't Hooft's technique of changing the gauge parameter of the linear covariant gauge from the point of view of the path integral with respect to the gauge freedom. Extension of the degrees of freedom allows us to formulate a…