Related papers: C\`adl\`ag Rough Differential Equations with Refle…
We consider a differential equation driven by a Brownian motion as well as a rough path. We prove a Girsanov-type result for this equation to construct a weak solution in the probabilistic sense.
We consider the rough differential equation with drift driven by a Gaussian geometric rough path. Under natural conditions on the rough path, namely non-determinism, and uniform ellipticity conditions on the diffusion coefficient, we prove…
In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and…
We establish transportation cost inequalities, with respect to the uniform and $L_2$-metric, on the path space of continuous functions, for laws of solutions of stochastic differential equations with reflections. We also consider the case…
The notes are an overview of part of the theory of pathwise weak solutions to two classes of scalar fully nonlinear first- and second-order degenerate parabolic partial differential equations with multiplicative rough time dependence, a…
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by…
We study the existence of a solution for a one-dimensional generalized backward stochastic differential equation with two reflecting barriers (GRBSDE for short) under assumptions on the input data which are weaker than that on the current…
In the context of controlled differential equations, the signature is the exponential function on paths. B. Hambly and T. Lyons proved that the signature of a bounded variation path is trivial if and only if the path is tree-like. We extend…
In this paper we prove the strong averaging principle for a slow-fast system of rough differential equations. The slow and the fast component of the system are driven by a rather general random rough path and Brownian rough path,…
After reexamining the above barrier diffusion problem where we notice that the wave packet collision implies the existence of {\em multiple} reflected and transmitted wave packets, we analyze the way of obtaining phase times for…
In this paper, we first prove that the local time associated with symmetric $\alpha$-stable processes is of bounded $p$-variation for any $p>\frac{2}{\alpha-1}$ partly based on Barlow's estimation of the modulus of the local time of such…
The It{\^o} map assigns the solution of a Rough Differential Equation, a generalization of an Ordinary Differential Equation driven by an irregular path, when existence and uniqueness hold. By studying how a path is transformed through the…
We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form $\partial _tu-A_tu-f=(\dot X_t(x) \cdot \nabla + \dot Y_t(x))u$ on $[0,T]\times\mathbb{R}^d.$ To do so, we introduce a concept of…
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…
We prove existence and uniqueness results for (mild) solutions to some non-linear parabolic evolution equations with a rough forcing term. Our method of proof relies on a careful exploitation of the interplay between the spatial and time…
This work is devoted to the study of the existence and periodicity of solutions of initial differential problems, paying special attention to the explicit computation of the period. These problems are also connected with some particular…
We investigate reflected random walks in the quarter plane, with particular emphasis on the time spent along the reflection boundary axes. Assuming the drift of the random walk lies within the cone, the local time converges -- without the…
In this paper, we consider reflected anticipated backward stochastic differential equations (RABSDEs, for short) with an additional resistance in the generators. Firstly, we study the existence and uniqueness results. In Luo (2020), the…
We introduce a new framework to deal with rough differential equations based on flows and their approximations. Our main result is to prove that measurable flows exist under weak conditions, even solutions to the corresponding rough…
We consider stochastic differential equations with (oblique) reflection in a $2$-dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form $\{(x_1,x_2):0<x_1\leq\delta_0,\psi_1(x_1)<x_2<\psi_…