Related papers: An It\^o-Wentzell formula for rough paths
We present here a new method for approximating functions defined on superreflexive Banach spaces by differentiable functions with $\alpha$-H\"older derivatives (for some $0<\alpha\leq 1$). The smooth approximation is given by means of an…
In this paper, we achieve a Reilly type integral formula associated with the $\phi$-Laplacian. As its applications, we obtain Heintze-Karcher and Minkowski type inequalities. Furthermore, almost Schur lemmas are also given. They recover the…
We prove a priori interior $C^{2,\alpha}$ estimates for solutions of fully nonlinear elliptic equations of twisted type. For example, our estimates apply to equations of the type convex + concave. These results are particularly well suited…
Using rough path theory, we provide a pathwise foundation for stochastic It\^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To…
For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using a Euler type scheme with integrated kernels. Our first…
We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and…
The Hairer-Kelly map has been introduced for establishing a correspondence between geometric and non-geometric rough paths. Recently, a new renormalisation on rough paths has been proposed in (arxiv 1810.12179), built on this map and the…
In this paper, we combine Hida distribution theory and Sobolev-Watanabe-Kree spaces in order to study finely the link between forward integrals obtained by regularization and Wick-It\^o integrals with respect to fractional Brownian motion…
In this short note, we propose an unified method to derive formulas for derivations conjugated by exponential functions on an almost complex manifold. In v3, we corrected some mistakes in previous versions.
We establish a universal approximation theorem for signatures of rough paths that are not necessarily weakly geometric. By extending the path with time and its rough path bracket terms, we prove that linear functionals of the signature of…
We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market price of a set of European options will be given by a diffusive pricing model, then the discrete-time gamma-hedging…
Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…
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…
A path integral representation is given for the solutions of the 3+1 dimensional Dirac equation. The regularity of the trajectories, the non-relativistic limit and the semiclassical approximation are briefly mentioned.
We prove a sharp H\"older estimate for solutions of linear two-dimensional, divergence form elliptic equations with measurable coefficients, such that the matrix of the coefficients is symmetric and has {\em unit determinant}. Our result…
The incorporation of two- and three-dimensional $\delta$-function perturbations into the path-integral formalism is discussed. In contrast to the one-dimensional case, a regularization procedure is needed due to the divergence of the…
We consider the generic regularized optimization problem $\hat{\mathsf{\beta}}(\lambda)=\arg \min_{\beta}L({\sf{y}},X{\sf{\beta}})+\lambda J({\sf{\beta}})$. Efron, Hastie, Johnstone and Tibshirani [Ann. Statist. 32 (2004) 407--499] have…
We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical method. The contribution of this paper is threefold. First, we…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
In this article, we first establish the main tool - an integral formula for Riemannian manifolds with multiple boundary components (or without boundary). This formula generalizes Reilly's original formula from \cite{Re2} and the recent…