Related papers: Pathwise integration and change of variable formul…
We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for…
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…
We revisit the construction of the fermionic path-integral representation of overdamped scalar Langevin processes with multiplicative white noise, focusing on the covariance of the generating functional under non-linear changes of…
A fully regulated definition of Feynman's path integral is presented here. The proposed re-formulation of the path integral coincides with the familiar formulation whenever the path integral is well-defined. In particular, it is consistent…
We study a class of nonlinear Burgers-type stochastic partial differential equations driven by additive space-time white noise in one spatial dimension. Building on the rough path framework initiated by Hairer, which provides a pathwise…
We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a…
Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…
We prove a generalisation of Fernique's theorem which applies to a class of (measurable) functionals on abstract Wiener spaces by using the isoperimetric inequality. Our motivation comes from rough path theory where one deals with iterated…
We make use of point transformations to introduce new canonical variables for systems defined on a finite interval and on the half-line so that new position variables should take all real values from $-\infty$ to $\infty$. The completeness…
In this paper, locally Lipschitz, regular functions are utilized to identify and remove infeasible directions from set-valued maps that define differential inclusions. The resulting reduced set-valued map is point-wise smaller (in the sense…
We present a coordinate-invariant approach, based on a Pauli-Villars measure, to the definition of the path integral in two-dimensional conformal field theory. We discuss some advantages of this approach compared to the operator formalism…
We consider one-step methods for integrating stochastic differential equations and prove pathwise convergence using ideas from rough path theory. In contrast to alternative theories of pathwise convergence, no knowledge is required of…
The transformation of the path integral measure under the reduction procedure in the dynamical systems with a symmetry is considered. The investigation is carried out in the case of the Wiener--type path integrals that are used for…
We develop a path integral framework for determining most probable paths in a class of systems of stochastic differential equations with piecewise-smooth drift and additive noise. This approach extends the Freidlin-Wentzell theory of large…
In this note, we define the numbers of level crossings by a c{\`a}dl{\`a}g (RCLL) real function $x: [0,+\infty) \rightarrow R$ and, in analogy to the work of Bertoin and Yor [BY14] we prove that for $x$ with locally finite total variation…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
The use of random sampling in decision-making and control has become popular with the ease of access to graphic processing units that can generate and calculate multiple random trajectories for real-time robotic applications. In contrast to…
We have formulated higher-order integration by parts formulae on the path space restricted between two curves, with respect to pinned/ordinary Wiener measures. The higher-order integration by parts formulae introduce nontrivial boundary…
The theory of rough paths arose from a desire to establish continuity properties of ordinary differential equations involving terms of low regularity. While essentially an analytic theory, its main motivation and applications are in…
Temporal integration of equations possessing continuous symmetries (e.g. systems with translational invariance associated with traveling solutions and scale invariance associated with self-similar solutions) in a ``co-evolving'' frame (i.e.…