Related papers: Quadratic variation and quadratic roughness
We consider nonlinear parabolic evolution equations of the form $\partial_{t}u=F(t,x,Du,D^{2}u) $, subject to noise of the form $H(x,Du) \circ dB$ where $H$ is linear in $Du$ and $\circ dB$ denotes the Stratonovich differential of a…
Motivated by a M\"obius invariant subdivision scheme for polygons, we study a curvature notion for discrete curves where the cross-ratio plays an important role in all our key definitions. Using a particular M\"obius invariant…
We apply two theoretical and two numerical methods to the problem of a disk placed in a groove and subjected to gravity and a torque. Methods assuming rigid particles are indeterminate -- certain combinations of forces cannot be calculated,…
We present a novel geometric approach for determining the unique structure of a Hamiltonian and establishing an instability criterion for quantum quadratic systems. Our geometric criterion provides insights into the underlying geometric…
An approach to evaluation of the smooth Feynman path integrals is developed for the study of quantum fluctuations of particles and fields in Euclidean time-space. The paths are described by sum of Gauss functions and are weighted with…
This article introduces a method for estimating the smoothness of a stationary, isotropic Gaussian random field from irregularly spaced data. This involves novel constructions of higher-order quadratic variations and the establishment of…
We construct a $K$-rough path above either a space-time or a spatial fractional Brownian motion, in any space dimension $d$. This allows us to provide an interpretation and a unique solution for the corresponding parabolic Anderson model,…
This paper is devoted to studying the averaging principle for fast-slow system of rough differential equations driven by mixed fractional Brownian rough path. The fast component is driven by Brownian motion, while the slow component is…
We propose a natural, parameter-free, discrete-variable formulation of Feynman path integrals. We show that for discrete-variable quantum systems, Feynman path integrals take the form of walks on the graph whose weighted adjacency matrix is…
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This…
We consider differential equations driven by rough paths and study the regularity of the laws and their long time behavior. In particular, we focus on the case when the driving noise is a rough path valued fractional Brownian motion with…
Based on the recent development of the framework of Volterra rough paths, we consider here the probabilistic construction of the Volterra rough path associated to the fractional Brownian motion with $H>\frac{1}{2}$ and for the standard…
We consider stochastic differential equations of the form $dY_t=V(Y_t)\,dX_t+V_0(Y_t)\,dt$ driven by a multi-dimensional Gaussian process. Under the assumption that the vector fields $V_0$ and $V=(V_1,\ldots,V_d)$ satisfy H\"{o}rmander's…
We investigate the motion of an inert (massive) particle being impinged from below by a particle performing (reflected) Brownian motion. The velocity of the inert particle increases in proportion to the local time of collisions and…
A gauge invariant partition function is defined for gauge theories which leads to the standard quantization. It is shown that the descent equations and consequently the consistent anomalies and Schwinger terms can be extracted from this…
Paths in an appropriate geometry are usually used as trajectories of test particles in geometric theories of gravity. It is shown that non-symmetric geometries possess some interesting quantum features. Without carrying out any quantization…
The dynamical properties of a particle in a gravitational field colliding with a rigid wall moving with piecewise constant velocity are studied. The linear nature of the wall's motion permits further analytical investigation than is…
Near a singular point of a surface or a curve, geometric invariants diverge in general, and the orders of diverge, in particular the boundedness about these invariants represent geometry of the surface and the curve. In this paper, we study…
We investigate the average velocity of Brownian particles driven by a constant external force when constrained to move in two-dimensional, weakly-corrugated channels. We consider both the geometric confinement of the particles between solid…
We develop a nonparametric test for deciding whether volatility of an asset follows a standard semimartingale process, with paths of finite quadratic variation, or a rough process with paths of infinite quadratic variation. The test…