Related papers: Examples of It\^o c\`adl\`ag rough paths

In this paper we study progressive filtration expansions with c\`adl\`ag processes. Using results from the theory of the weak convergence of $\sigma$-fields, we first establish a semimartingale convergence theorem. Then we apply it in a…

We prove existence of global solutions for differential equations driven by a geometric rough path under the condition that the vector fields have linear growth. We show by an explicit counter-example that the linear growth condition is not…

We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but connection-dependent) definitions of the rough integral of…

Given a Galois cover of curves over $\mathbb{F}_p$, we relate the $p$-adic valuation of epsilon constants appearing in functional equations of Artin L-functions to an equivariant Euler characteristic. Our main theorem generalises a result…

Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations. These regularity results…

The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…

In this article, we consider limit theorems for some weighted type random sums (or discrete rough integrals). We introduce a general transfer principle from limit theorems for unweighted sums to limit theorems for weighted sums via rough…

We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may…

An introduction to Leavitt path algebras of arbitrary directed graphs is presented, and direct limit techniques are developed, with which many results that had previously been proved for countable graphs can be extended to uncountable ones.…

We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running…

We prove well-posedness and rough path stability of a class of linear and semi-linear rough PDE's on $\mathbb{R}^d$ using the variational approach. This includes well-posedness of (possibly degenerate) linear rough PDE's in…

This paper provides an overview of the recently developed notion of viscosity solutions of path-dependent partial di erential equations. We start by a quick review of the Crandall- Ishii notion of viscosity solutions, so as to motivate the…

We consider a rough differential equation of the form \(dY_t=\sum_i V_i(Y_t)d\boldsymbol{X}^i_t+V_0(Y_t)dt \), where \(\boldsymbol{X}_t \) is a Markovian rough path. We demonstrate that if the vector fields \((V_i)_{0\leq i\leq d} \)…

We propose a new weak convergence theorem for martingales, under gentler conditions than the usual convergence in probability of the sequence of associated quadratic variations. Its proof requires the combined use of Skorohod's…

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…

A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued,…

We give proofs of de Rham comparison isomorphisms for rigid-analytic varieties, with coefficients and in families. This relies on the theory of perfectoid spaces. Another new ingredient is the pro-etale site, which makes all constructions…

We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It\^o's integral and based on a certain topology which is induced by the outer measure…

Given a compact p-adic Lie group G over a finite unramified extension L/Q_p let G_0 be the product over all Galois conjugates of G. We construct an exact and faithful functor from admissible G-Banach space representations to admissible…

We prove an enhanced limit theorem for additive functionals of a multi-dimensional Volterra process $(y_t)_{t\geq 0}$ in the rough path topology. As an application, we establish weak convergence as $\varepsilon\to 0$ of the solution of the…