Related papers: Examples of It\^o c\`adl\`ag rough paths
We compute the Galois cohomology of any $p$-adic valuation field extension of a pre-perfectoid field. Moreover, we obtain a generalization and also a new proof of the classical results of Tate and Hyodo on discrete valuation fields, without…
We construct $p$-adic $L$-functions associated with $p$-refined cohomological cuspidal Hilbert modular forms over any totally real field under a mild hypothesis. Our construction is canonical, varies naturally in $p$-adic families, and does…
We use Taylor's formula with Lagrange remainder to prove that functions with bounded second derivative are rectifiable in the case when polygonal paths are defined by interval subdivisions which are equally spaced. We discuss potential…
Making use of the recent theory of noncommutative motives, we prove that every additive invariant satisfies Galois descent. Examples include mixed complexes, Hochschild homology, cyclic homology, periodic cyclic homology, negative cyclic…
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain…
We consider a stochastic Volterra integral equation with regular path-dependent coefficients and a Brownian motion as integrator in a multidimensional setting. Under an imposed absolute continuity condition, the unique solution is a…
We show in this note that the Ito-Lyons solution map associated to a rough differential equation is Frechet differentiable when understood as a map between some Banach spaces of controlled paths. This regularity result provides an…
We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that the integral satisfies a pathwise isometry property,…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
We compute, in a stable range, the arithmetic p-adic etale cohomology of smooth rigid analytic and dagger varieties (without any assumption on the existence of a nice integral model) in terms of differential forms using syntomic methods.…
We address our interest to the development of a theory of viscosity solutions {\`a} la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the space of continuous paths C([0, T ]; R^d). Path-dependent…
We consider saddle point integrals in d variables whose phase function is neither real nor purely imaginary. Results analogous to those for Laplace (real phase) and Fourier (imaginary phase) integrals hold whenever the phase function is…
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by L\'evy processes or general semimartingales. The main ingredients of our method is the perturbation of the SDE and the…
In this paper, we study properties of quadratic variations of c\`{a}dl\`{a}g paths within the framework of the It\^{o}--F\"{o}llmer calculus in Banach spaces. We prove a $C^1$-type transformation formula for quadratic variations. We also…
The present paper aims to establish the local well-posedness of Euler's fluid equations on geometric rough paths. In particular, we consider the Euler equations for the incompressible flow of an ideal fluid whose Lagrangian transport…
We give a sufficient condition for a Littelmann path to represent a vector of extremal weight of an integrable irreducible highest weight representation of a symmetrisable Kac-Moody algebra. Thanks to this condition we present, in a more…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
Our rigorous path integrals costruction for the evolution operators is extended to metric-affine manifolds.
In this paper, we introduce an inertial version of the Proximal Incremental Aggregated Gradient method (PIAG) for minimizing the sum of smooth convex component functions and a possibly nonsmooth convex regularization function.…
Rough path analysis can be developed using the concept of controlled paths, and with respect to a topology in which L\'evy's area plays a role. For vectors of irregular paths we investigate the relationship between the property of being…