Related papers: Quadratic variation and quadratic roughness
A bounded curvature path is a continuously differentiable piece-wise $C^2$ path with bounded absolute curvature connecting two points in the tangent bundle of a surface. These paths have been widely considered in computer science and…
We consider Brownian motions with one-sided collisions, meaning that each particle is reflected at its right neighbour. For a finite number of particles a Sch\"{u}tz-type formula is derived for the transition probability. We investigate an…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
Applying robust optimization often requires selecting an appropriate uncertainty set both in shape and size, a choice that directly affects the trade-off between average-case and worst-case performances. In practice, this calibration is…
A quantum finite multi-barrier system, with a periodic potential, is considered and exact expressions for its plane wave amplitudes are obtained using the Transfer Matrix method [10]. This quantum model is then associated with a stochastic…
A quadratic invariant is defined as a quadratic form in the elements of a tensor that remains invariant under a group of coordinate transformations. It is proved that there are 7 quadratic invariants of the 21-element elastic modulus tensor…
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…
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…
We consider a stochastic process $Y$ defined by an integral in quadratic mean of a deterministic function $f$ with respect to a Gaussian process $X$, which need not have stationary increments. For a class of Gaussian processes $X$, it is…
We study the linear transport equation \[ \frac{\partial}{\partial t} u ( t,x ) +b ( t,x ) \cdot \nabla u ( t,x ) + \nabla u ( t,x ) \cdot \frac{\partial}{\partial t} X ( t ) =0, \hspace{2em} u ( 0,x ) =u_{0} ( x ) \] where $b$ is a…
We study the relationship between mixed stochastic differential equations and the corresponding rough path equations driven by standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. We establish a correction…
The action $A$ of Quadratic Gravity in FLRW metric is invariant under the group of diffeomorphisms of the time coordinate and can be written in terms of the only dynamical variable $g(\tau)\,.$ We construct perturbation theory for…
We study the variational problem that arises from consideration of large deviations for semimartingale reflected Brownian motion (SRBM) in the positive octant. Due to the difficulty of the general problem, we consider the case in which the…
We consider a Brownian particle moving on a ring. We study the probability distributions of the total number of turns and the net number of counter-clockwise turns the particle makes till time t. Using a method based on the renewal…
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
In this paper, we build the foundation for a theory of controlled rough paths on manifolds. A number of natural candidates for the definition of manifold valued controlled rough paths are developed and shown to be equivalent. The theory of…
Variational quantum algorithms have emerged as a powerful tool for harnessing the potential of near-term quantum devices to address complex challenges across quantum science and technology. Yet, the robust and scalable quantification of…
Small noise problems are quite important for all types of stochastic differential equations. In this paper we focus on rough differential equations driven by scaled fractional Brownian rough path with Hurst parameter H between 1/4 and 1/2.…
We prove well-posedness and rough path stability of a class of linear and semi-linear rough PDE's on $\mathbb{R}^d$ using the variational approach. This includes well-posedness of (possibly degenerate) linear rough PDE's in…
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.