Related papers: Pathwise integration and change of variable formul…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
We derive a functional It\^o-formula for non-anticipative maps of rough paths, based on the approximation properties of the signature of c\`adl\`ag rough paths. This result is a functional extension of the It\^o-formula for c\`adl\`ag rough…
We approach the Riemann integral via generalized primitives to give a new proof for a general result on change of variable originally proven by Kestelman and Davies. Our proof is similar to Kestelman's, but we hope readers will find it…
We establish global universal approximation theorems on spaces of piecewise linear paths, stating that linear functionals of the corresponding signatures are dense with respect to $L^p$- and weighted norms, under an integrability condition…
The path integral for Darcy's law with a stochastic conductivity, which characterizes flow through random porous media, is used as a basis for Wilson renormalization-group (RG) calculations in momentum space. A coarse graining procedure is…
We present a non-probabilistic, pathwise approach to continuous-time finance based on causal functional calculus. We introduce a definition of self-financing, free from any integration concept and show that the value of a self-financing…
We to define a Path Integral in Lorentzian time by restricting the relevant domain of integration on $C([0,1],M)$ over a Riemannian configuration manifold $(M,g)$ and considering the dynamics of a particle evolving between to fixed…
We construct path integral representations for the evolution operator of q-oscillators with root of unity values of q-parameter using Bargmann-Fock representations with commuting and non-commuting variables, the differential calculi being…
A recently developed analytical method for systematic improvement of the convergence of path integrals is used to derive a generalization of Euler's summation formula for path integrals. The first $p$ terms in this formula improve…
The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…
We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise…
Abstract. We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [38]. Our study was prompted by some concrete problems in battery modelling [23], and also…
We study the concept of (generalized) $p$-th variation of a real-valued continuous function along a general class of refining sequence of partitions. We show that the finiteness of the $p$-th variation of a given function is closely related…
An integration by parts formula is the foundation for stochastic analysis on path spaces over a (finite dimensional) Riemannian manifold or over $R^n$, from which we may deduce the operator $d$ is closable and define the Laplacian operator…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
Even if path planning can be solved using standard techniques from dynamic programming and control, the problem can also be approached using probabilistic inference. The algorithms that emerge using the latter framework bear some appealing…
A real-time path integral for ultrasoft QCD is formulated. It exhibits a Feynman's influence functional. The statistical properties of the theory and the gauge symmetry are explicit. The correspondence is established with the alternative…
p-Adic generalization of the Feynman path integrals in quantum mechanics is considered. The probability amplitude for a particle in a constant field is calculated. Path integrals over p-adic space have the same form as those over R.
We continue the development of the theory of pathwise stochastic entropy solutions for scalar conservation laws in $\R^N$ with quasilinear multiplicative ''rough path'' dependence by considering inhomogeneous fluxes and a single rough path…
Several techniques were proposed to model the Piecewise linear (PWL) functions, including convex combination, incremental and multiple choice methods. Although the incremental method was proved to be very efficient, the attention of the…