Related papers: Ramification of Volterra-type Rough Paths
This work defines and studies one-dimensional convolution kernels that preserve nonnegativity. When the past dynamics of a process is integrated with a convolution kernel like in Stochastic Volterra Equations or in the jump intensity of…
A path integral reduction procedure in Wiener-type path integrals, based on the approach developed in arXiv:1912.13124, is applied to a simple invariant mechanical system defined on a product manifold with a given free, proper and isometric…
This paper considers traces at the initial time for solutions of evolution equations with local or non-local derivatives in vector-valued $L_p$ spaces with $A_p$ weight. To achieve this, we begin by introducing a generalized real…
We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model. In particular, the variance process is…
This article presents a novel solution method for nonautonomous linear ordinary fractional differential equations. The approach is based on reformulating the analytical solution using the $\star$-product, a generalization of the Volterra…
A well-established approach to reasoning about loops during program analysis is to capture the effect of a loop by extracting recurrences from the loop; these express relationships between the values of variables, or program properties such…
We apply the monotone domain decomposition iterative method to a nonlinear integro-differential equation of Volterra type and prove its convergence. To do this, by adding a term in both sides of the original equation we make a linear…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
The robust PCA problem, wherein, given an input data matrix that is the superposition of a low-rank matrix and a sparse matrix, we aim to separate out the low-rank and sparse components, is a well-studied problem in machine learning. One…
Motivated by applications in physics (e.g., turbulence intermittency) and financial mathematics (e.g., rough volatility), this paper examines a family of integrated stochastic Volterra processes characterized by a small Hurst parameter…
Integral equations are widely used in fields such as applied modeling, medical imaging, and system identification, providing a powerful framework for solving deterministic problems. While parameter identification for differential equations…
The sufficient conditions for existence and uniqueness of continuous solutions of the Volterra operator equations of the first kind with piecewise continuous kernel are derived. The asymptotic approximation of the parametric family of…
Motivated by recent applications in rough volatility and regularity structures, notably the notion of singular modelled distribution, we study paths, rough paths and related objects with a quantified singularity at zero. In a pure path…
The aim of this paper is to give the geometric realization of regular path complexes via (co)homology groups with coefficients in a ring $R$. Concretely, for each regular path complex $P$, we associate it with a singular $\Delta$-complex…
In this paper we apply for the first time a new method for multivariate equation solving which was developed in \cite{gh1}, \cite{gh2}, \cite{gh3} for complex root determination to the {\em real} case. Our main result concerns the problem…
A valuation theoretic approach is presented that directly leads to division algebras that are noncrossed products (instead of, e.g., describing Brauer classes of noncrossed products in an abstract manner). While this feature is shared by…
We consider a real-valued path; it is possible to associate a tree to this path, and we explore the relations between the tree, the properties of $p$-variation of the path, and integration with respect to the path. In particular, the…
Rough path analysis can be developed using the concept of controlled paths, and with respect to a topology in which L\'evy's area plays a role. For vectors of irregular paths we investigate the relationship between the property of being…
A coercivity property of temporal convolution operators is an essential tool in the analysis of time-dependent boundary integral equations and their space and time discretisations. It is known that this coercivity property is inherited by…
We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration…