Related papers: Quadratic variation and quadratic roughness
Rough paths theory allows for a pathwise theory of solutions to differential equations driven by highly irregular signals. The fundamental observation of rough paths theory is that if one can define "iterated integrals" above a signal, then…
A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are robustness to smooth additive and…
We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be…
In this work we study fractal properties of rough differential equations driven by a fractional Brownian motions with Hurst parameter $H>\frac{1}{4}$. In particular, we show that the Hausdorff dimension of the sample paths of the solution…
We study a new simple quadrature rule based on integrating a $C^1$ quadratic spline quasi-interpolant on a bounded interval. We give nodes and weights for uniform and non-uniform partitions. We also give error estimates for smooth functions…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
In this paper, we introduce a model of Brownian polymer in a continuous random environment. The asymptotic behavior of the partition function associated to this polymer measure is studied, and we are able to separate a weak and strong…
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional…
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller than half, and have attracted much attention since a seminal…
We consider the rough differential equation $dY=f(Y)d\bm \om$ where $\bm \om=(\omega,\bbomega)$ is a rough path defined by a Brownian motion $\omega$ on $\RR^m$. Under the usual regularity assumption on $f$, namely $f\in C^3_b (\RR^d,…
A branched rough path $X$ consists of a rough integral calculus for $X \colon [0, T] \to \mathbb R^d$ which may fail to satisfy integration by parts. Using Kelly's bracket extension [Kel12], we define a notion of pushforward of branched…
Quantum field theory in curved spacetime may be defined either through a manifestly unitary canonical approach or via the manifestly covariant path integral formalism. For gauge theories, these two approaches have produced conflicting…
Quantum gravity has long remained elusive from an observational standpoint. Developing effective cosmological models motivated by the fundamental aspects of quantum gravity is crucial for bridging theory with observations. One key aspect is…
We characterize positive definiteness for some family of matrices. As an application we derive explicit value of the quadratic embedding constants of the path graphs.
In this work we study the smoothing effect of rough differential equations driven by a fractional Brownian motion with parameter $H>1/4$. The regularization estimates we obtain generalize to the fractional Brownian motion previous results…
We derive It\^o-type change of variable formulas for smooth functionals of irregular paths with non-zero $p-$th variation along a sequence of partitions where $p \geq 1$ is arbitrary, in terms of fractional derivative operators, extending…
A geometric interpretation of curvature and torsion of linear transports along paths is presented. A number of (Bianchi type) identities satisfied by these quantities are derived. The obtained results contain as special cases the…
The parity of the partition function $p(n)$ remains strikingly mysterious. Beyond a handful of fragmentary results, essentially nothing is known about the distribution of parity. We prove a uniform result on quadratic progressions. If…
We study quantum caustics in $d$-dimensional systems with quadratic Lagrangians. Based on Schulman's procedure in the path-integral we derive the transition amplitude on caustics in a closed form for generic multiplicity $f$, and thereby…