Related papers: Examples of It\^o c\`adl\`ag rough paths
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 give an overview of the recent approach to the integration of rough paths that reduces the problem to classical Young integration. As an application, we extend an argument of Schwartz to rough differential equations, and prove the…
We formulate indefinite integration with respect to an irregular function as an algebraic problem and provide a criterion for the existence and uniqueness of a solution. This allows us to define a good notion of integral with respect to…
The stack of iterated integrals of a path is embedded in a larger algebraic structure where iterated integrals are indexed by decorated rooted trees and where an extended Chen's multiplicative property involves the D\"urr-Connes-Kreimer…
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 present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is…
Inspired by recent advances in singular SPDE theory, we use the Poincar\'e inequality on Wiener space to show that controlled complementary Young regularity is sufficient to obtain Gaussian rough paths lifts. This allows us to completely…
The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…
In this paper, we establish the theory of nonlinear rough paths. We give the definition of nonlinear rough paths, and develop the integrals. Then, we study differential equations driven by nonlinear rough paths. Afterwards, we compare the…
We prove that the model-free typical (in the sense of Vovk) c\`adl\`ag price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specific sequence of partitions as long as these partitions…
We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration…
We derive explicit distance bounds for Stratonovich iterated integrals along two Gaussian processes (also known as signatures of Gaussian rough paths) based on the regularity assumption of their covariance functions. Similar estimates have…
We discuss general incompressible inviscid models, including the Euler equations, the surface quasi-geostrophic equation, incompressible porous medium equation, and Boussinesq equations. All these models have classical unique solutions, at…
We show that weighted path orders are special instances of a variant of semantic path orders. Exploiting this fact, we introduce a generalization of weighted path orders that goes beyond the realm of simple termination. Experimental data…
The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and…
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.
For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
We establish universal approximation theorems for infinite-dimensional geometric rough paths, i.e., we show that continuous functions on the space of infinite-dimensional weakly geometric H\"older continuous rough paths can be approximated…
We prove that typical (in the model-free finance setting) price paths with jumps may be uniformly approximated with accuracy $c>0$ by paths whose total variation is of order $1/c.$ A more precise result is obtained for semimartingales with…