Related papers: Rough Paths above Weierstrass Functions

This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…

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,…

We consider a nonlinear filtering problem for a signal-observation system driven by a Volterra-type Gaussian rough path, whose sample paths may exhibit greater roughness than those of Brownian motion. The observation process includes a…

Regularization is used in many different areas of optimization when solutions are sought which not only minimize a given function, but also possess a certain degree of regularity. Popular applications are image denoising, sparse regression…

Modern computer networks support interesting new routing models in which traffic flows from a source s to a destination t can be flexibly steered through a sequence of waypoints, such as (hardware) middleboxes or (virtualized) network…

We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…

This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of [8, 7], where the existence and uniqueness of a solution…

We show how to use geometric arguments to prove that the terminal solution to a rough differential equation driven by a geometric rough path can be obtained by driving the same equation by a piecewise linear path. For this purpose, we…

The It\^o formula, originated by K. It\^o, is focus on the stochastic calculus, where many stochastic processes can be placed under the framework of rough paths. In rough path theory, It\^o formulas have been proved for rough paths with…

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,…

Stochastic differential equations (SDEs) on compact foliated spaces were introduced a few years ago. As a corollary, a leafwise Brownian motion on a compact foliated space was obtained as a solution to an SDE. In this paper we construct…

We consider entropically regularized, semi-discrete versions of variational problems on the set of probability measures involving optimal transport as well as other terms. We prove that the solutions can be characterized by well-posed…

We derive an efficient stochastic algorithm for inverse problems that present an unknown linear forcing term and a set of nonlinear parameters to be recovered. It is assumed that the data is noisy and that the linear part of the problem is…

Differential equations perturbed by multiplicative fractional Brownian motions are considered. Depending on the value of the Hurst parameter $H$, the resulting equation is pathwise viewed as an ODE, YDE, or RDE. In all three regimes we show…

We consider the ordinary differential equation (ODE) $dx_{t} =b(t,x_{t} ) dt+ dw_{t}$ where $w$ is a continuous driving function and $b$ is a time-dependent vector field which possibly is only a distribution in the space variable. We…

This article is devoted to the extension of the theory of rough paths in the context of Volterra equations with possibly singular kernels. We begin to describe a class of two parameter functions defined on the simplex called Volterra paths.…

Instrumental variables (IV) estimation is a fundamental method in econometrics and statistics for estimating causal effects in the presence of unobserved confounding. However, challenges such as untestable model assumptions and poor finite…

Numerous problems of both theoretical and practical interest are related to finding shortest (or otherwise optimal) paths in networks, frequently in the presence of some obstacles or constraints. A somewhat related class of problems focuses…

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…

We study an important practical aspect of the route planning problem in real-world road networks -- maneuvers. Informally, maneuvers represent various irregularities of the road network graph such as turn-prohibitions, traffic light delays,…