Related papers: Solving rough differential equations with the theo…
We introduce a new notion of "regularity structure" that provides an algebraic framework allowing to describe functions and / or distributions via a kind of "jet" or local Taylor expansion around each point. The main novel idea is to…
The dynamics of rough differential equations (RDEs) has recently received a lot of interest. For example, the existence of local random center manifolds for RDEs has been established. In this work, we present an approximation for local…
In this note we introduce a new approach to rough and stochastic partial differential equations (RPDEs and SPDEs): we consider general Banach spaces as state spaces and -- for the sake of simiplicity -- finite dimensional sources of noise,…
We go ahead with the study initiated in [3] about a heat-equation model with non-linear perturbation driven by a space-time fractional noise. Using general results from Hairer's theory of regularity structures, the analysis reduces to the…
We provide in this work a robust solution theory for random rough differential equations of mean field type $$ dX_t = V(X_t,\mathcal{L}(X_t))dt + F(X_t,\mathcal{L}(X_t))dW_t, $$ where $W$ is a random rough path and $\mathcal{L}(X_t)$ stands…
Rough paths theory allows for a pathwise theory of solutions to differential equations driven by highly irregular signals. The fundamental observation of rough paths theory is that if one can define "iterated integrals" above a signal, then…
In this note we consider differential equations driven by a signal $x$ which is $\gamma$-H\"older with $\gamma>1/3$, and is assumed to possess a lift as a rough path. Our main point is to obtain existence of solutions when the coefficients…
In the spirit of Marcus canonical stochastic differential equations, we study a similar notion of rough differential equations (RDEs), notably dropping the assumption of continuity prevalent in the rough path literature. A new metric is…
We present sufficient conditions for finite controlled rho-variation of the covariance of Gaussian processes with stationary increments, based on concavity or convexity of their variance function. The motivation for this type of conditions…
Regularity theory for diffusive operators is among the finest treasures of the modern mathematical sciences. It appears in several different fields, such as, differential geometry, topology, numerical analysis, dynamical systems,…
This article focuses on parabolic equations with rough diffusion coefficients which are ill-posed in the classical sense of distributions due to the presence of a singular forcing. Inspired by the philosophy of rough paths and regularity…
This work establishes the existence and regularity of random pullback attractors for parabolic partial differential equations with rough nonlinear multiplicative noise under natural assumptions on the coefficients. To this aim, we combine…
We give meaning to linear and semi-linear (possibly degenerate) parabolic partial differential equations with (affine) linear rough path noise and establish stability in a rough path metric. In the case of enhanced Brownian motion (Brownian…
Since the breakthrough in rough paths theory for stochastic ordinary differential equations (SDEs), there has been a strong interest in investigating the rough differential equation (RDE) approach and its numerous applications. Rough path…
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 establish a simultaneous generalization of It\^o's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering,…
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…
We study a class of linear first and second order partial differential equations driven by weak geometric $p$-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving…
We develop the rough path counterpart of It\^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It\^o / forward) stochastic differential equations treatable…
We consider the rough differential equation with drift driven by a Gaussian geometric rough path. Under natural conditions on the rough path, namely non-determinism, and uniform ellipticity conditions on the diffusion coefficient, we prove…