Related papers: Non-Geometric Rough Paths on Manifolds

We formulate indefinite integration with respect to an irregular function as an algebraic problem and provide a criterion for the existence and uniqueness of a solution. This allows us to define a good notion of integral with respect to…

We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…

Given a tree and a set P of non-trivial simple paths on it, VPT(P) is the VPT graph (i.e. the vertex intersection graph) of the paths P, and EPT(P) is the EPT graph (i.e. the edge intersection graph) of P. These graphs have been extensively…

The concept of the path-dependent partial differential equation (PPDE) was first introduced in the context of path-dependent derivatives in financial markets. Its semilinear form was later identified as a non-Markovian backward stochastic…

We provide an extension of the Gromov--Zimmer Embedding Theorem for Cartan geometries of [3] to tractor bundles carrying any invariant connection, including tractor connections and prolongation connections of first BGG operators for…

We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…

Graph manifolds form important classes of $3$-dimensional closed and orientable manifolds. For example, {\it Seifert} manifolds are graph manifolds where hyperbolic manifolds are not. In applying singularity theory of differentiable maps to…

In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent…

An almost complex structure J on a 4-manifold X may be described in terms of a rank 2 vector bundle E. A splitting of J consists of a pair of line bundles spanning E. A hypersurface M in X satisfying a nondegeneracy condition inherits a…

Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…

We study three-dimensional path geometries with nontrivial torsion of maximal rank. We introduce the notion of constant torsion and show that such path geometries are in one-to-one correspondence with certain cone structures modeled on…

Rough sheets are two-parameter analogs of rough paths. In this work the theory of integration over functions of two parameters is extended to cover the case of irregular functions by developing an appropriate notion of rough sheet. The main…

We provide a new and simple system of equations for the normal sub-Riemannian geodesics. These use a partial connection that we show is canonically available, given a choice of complement to the distribution. We also describe conditions…

We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…

Contrary to previous approaches bringing together algebraic geometry and signatures of paths, we introduce a Zariski topology on the space of paths itself, and study path varieties consisting of all paths whose iterated-integrals signature…

We extend the recently developed rough path theory for Volterra equations from (Harang and Tindel, 2019) to the case of more rough noise and/or more singular Volterra kernels. It was already observed in (Harang and Tindel, 2019) that the…

In this paper, we investigate reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be viewed as probabilistic representations of nonlinear rough partial differential equations (rough PDEs) or…

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,…

Random geometric graphs are random graph models defined on metric spaces. Such a model is defined by first sampling points from a metric space and then connecting each pair of sampled points with probability that depends on their distance,…

We show how the robustness of gamma hedging can be understood without using rough-path theory. Instead, we use the concepts of $p^{th}$ variation along a partition sequence and Taylor's theorem directly, rather than defining an integral and…