Related papers: Rough path theory
In this paper, we use theory of rough set to study graphs using the concept of orbits. We investigate the indiscernibility partitions and approximations of graphs induced by orbits of graphs. We also study rough membership functions,…
We investigate the existence of a robust, i.e., continuous, representation of the conditional distribution in a stochastic filtering model for multidimensional correlated jump-diffusions. Even in the absence of jumps, it is known that in…
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional It\^o formula…
In [1], we proved the existence of solutions to reflected rough differential equations based on an idea of Euler approximation of the solutions which is due to Davie [6]. In this paper, we prove the existence theorem under weaker…
Lyons' Rough Path theory is currently formulated in p-variation topology. We extend his main-result, the Universal Limit Theorem, to a stronger Hoelder topology. Several approximations to Brownian Rough Paths are studied. As application of…
Graph association rule mining is a data mining technique used for discovering regularities in graph data. In this study, we propose a novel concept, {\it path association rule mining}, to discover the correlations of path patterns that…
We define a characteristic function for probability measures on the signatures of geometric rough paths. We determine sufficient conditions under which a random variable is uniquely determined by its expected signature, thus partially…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
Small random perturbations may have a dramatic impact on the long time evolution of dynamical systems, and large deviation theory is often the right theoretical framework to understand these effects. At the core of the theory lies the…
This is a review paper on recent work about the connections between rough path theory, the Connes-Kreimer Hopf algebra on rooted trees and the analysis of finite and infinite dimensional differential equation. We try to explain and motivate…
We study the linear transport equation \[ \frac{\partial}{\partial t} u ( t,x ) +b ( t,x ) \cdot \nabla u ( t,x ) + \nabla u ( t,x ) \cdot \frac{\partial}{\partial t} X ( t ) =0, \hspace{2em} u ( 0,x ) =u_{0} ( x ) \] where $b$ is a…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
Binary relations are one of the standard ways to encode, characterise and reason about graphs. Relation algebras provide equational axioms for a large fragment of the calculus of binary relations. Although relations are standard tools in…
We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such…
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 present a rough path analog of the classical Gronwall Lemma introduced recently by A. Deya, M. Gubinelli, M. Hofmanov\'a, S. Tindel in [arXiv:1604.00437] and discuss two of its applications. First, it is applied in the framework of rough…
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…
This article reviews the concepts and methods of variational path sampling. These methods allow computational studies of rare events in systems driven arbitrarily far from equilibrium. Based upon a statistical mechanics of trajectory space…
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 study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the…