Related papers: A Stratonovich-Skorohod integral formula for Volte…

Under the key assumption of finite {\rho}-variation, {\rho}\in[1,2), of the covariance of the underlying Gaussian process, sharp a.s. convergence rates for approximations of Gaussian rough paths are established. When applied to Brownian…

This article shows an It\^o-Wentzell type formula adapted to rough paths with $\alpha$-H\"older regularity $\alpha \in (\frac{1}{3},\frac{1}{2}]$. We improve previous results of R. Castrequini and P. Catuogno for the Young integral and C.…

Discretization of continuous stochastic processes is needed to numerically simulate them or to infer models from experimental time series. However, depending on the nature of the process, the same discretization scheme, if not accurate…

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 present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak…

We study approximate stochastic It\^o integration of processes belonging to a class of progressively measurable stochastic processes that are H\"older continuous in the $r$th mean. Inspired by increasingly popularity of computations with…

We derive an integral expression for the leading-order type I-I-I three-point functions in the $\mathfrak{su}(2) $-sector of $\mathcal{N}=4$ super Yang-Mills theory, for which no determinant formula is known. To this end, we first map the…

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…

We derive an invariance principle for the lift to the rough path topology of stochastic processes with delayed regenerative increments under an optimal moment condition. An interesting feature of the result is the emergence of area anomaly,…

This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…

The article is devoted to the implementation of strong numerical methods with convergence orders $0.5,$ $1.0,$ $1.5,$ $2.0,$ $2.5,$ and $3.0$ for Ito stochastic differential equations with multidimensional non-commutative noise based on the…

In this paper, we build the equivalence between rough differential equations driven by the lifted $G$-Brownian motion and the corresponding Stratonovich type SDE through the Wong-Zakai approximation. The quasi-surely convergence rate of…

The Random Particle Mesh (RPM) method used to simulate turbulence-induced broadband noise in several aeroacoustic applications is extended to realise isotropic turbulence spectra. With this method turbulent fluctuations are synthesised by…

A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…

This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, It\^o diffusive process is generalized by incorporating a multiplicative noise term…

We consider a class of stochastic PDEs of Burgers type in spatial dimension 1, driven by space-time white noise. Even though it is well known that these equations are well posed, it turns out that if one performs a spatial discretization of…

The article is devoted to the systematic derivation of new representations of the Hu-Meyer formulas. The formula expressing a multiple Wiener stochastic integral through the sum of multiple Stratonovich stochastic integrals and the formula…

We define two new notions of projection of a stochastic differential equation (SDE) onto a submanifold: the Ito-vector and Ito-jet projections. This allows one to systematically develop low dimensional approximations to high dimensional…

We consider the stochastic convection-diffusion equation \[ \partial_t u(t\,,{\bf x}) =\nu\Delta u(t\,,{\bf x}) + V(t\,,x_1)\partial_{x_2}u(t\,,{\bf x}), \] for $t>0$ and ${\bf x}=(x_1\,,x_2)\in\mathbb{R}^2$, subject to $\theta_0$ being a…

This paper establishes a comprehensive theory of geometric rough paths for mixed fractional Brownian motion (MFBM) and its generalized multi-component extensions. We prove that for a generalized MFBM of the form $M_t^H(a) = \sum_{k=1}^N a_k…