Related papers: Rough Paths above Weierstrass Functions

Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…

New problem is studied that is to find nonlinear differential equations with special solutions expressed via the Weierstrass function. Method is discussed to construct nonlinear ordinary differential equations with exact solutions. Main…

Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients…

In this article, we show how the theory of rough paths can be used to provide a notion of solution to a class of nonlinear stochastic PDEs of Burgers type that exhibit too high spatial roughness for classical analytical methods to apply. In…

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…

T. Lyons' rough path theory is something like a deterministic version of K. Ito's theory of stochastic differential equations, combined with ideas from K. T. Chen's theory of iterated path integrals. In this article we survey rough path…

Combining fractional calculus and the Rough Path Theory we study the existence and uniqueness of mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral…

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…

We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running…

Using some basic notions from the theory of Hopf algebras and quasi-shuffle algebras, we introduce rigorously a new family of rough paths: the quasi-geometric rough paths. We discuss their main properties. In particular, we will relate them…

Motivated by the recent advances in the theory of stochastic partial differential equations involving nonlinear functions of distributions, like the Kardar-Parisi-Zhang (KPZ) equation, we reconsider the unique solvability of one-dimensional…

The stack of iterated integrals of a path is embedded in a larger algebraic structure where iterated integrals are indexed by decorated rooted trees and where an extended Chen's multiplicative property involves the D\"urr-Connes-Kreimer…

We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Assuming the driving signals allow for Young integration, we provide…

Integrability properties of (classical, linear, linear growth) rough differential equations (RDEs) are considered, the Jacobian of the RDE flow driven by Gaussian signals being a motivating example. We revisit and extend some recent…

We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on RPDEs, our definition gives honest…

In the article, the rough path theory is extended to cover paths from the exponential Besov-Orlicz space \[B^\alpha_{\Phi_\beta,q}\quad\mbox{ for }\quad \alpha\in (1/3,1/2],\,\quad \Phi_\beta(x) \sim…

We consider the stochastic continuity equation perturbed by a fractional Brownian motion and the drift is allowed to be discontinuous. We show that for almost all paths of the fractional Brownian motion there exists a solution to the…

In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…

We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of $p$-th variation along a sequence of time…

This paper presents a unified exposition of rough path methods applied to optimal control, robust filtering, and optimal stopping, addressing a notable gap in the existing literature where no single treatment covers all three areas. By…