Related papers: Rough Functional It\^o Formula

We show in this note that the Ito-Lyons solution map associated to a rough differential equation is Frechet differentiable when understood as a map between some Banach spaces of controlled paths. This regularity result provides an…

The objects under investigation are the stochastic integrals with respect to free Levy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product…

We prove a large deviation principle for the slow-fast rough differential equations under the controlled rough path framework. The driver rough paths are lifted from the mixed fractional Brownian motion with Hurst parameter $H\in…

A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first…

For the Tornheim double zeta function T(s1,s2,s3) of complex variables,we obtain its functional equations,which are new.Using the calculus of r-th order derivative of zeta(s,alpha) as a function of alpha(developed in author[7])as the…

Fourier normal ordering \cite{Unt09bis} is a new algorithm to construct explicit rough paths over arbitrary H\"older-continuous multidimensional paths. We apply in this article the Fourier normal ordering ordering algorithm to the…

Let ${\mathscr L}^H(x,t)=2H\int_0^t\delta(B^H_s-x)s^{2H-1}ds$ be the weighted local time of fractional Brownian motion $B^H$ with Hurst index $1/2<H<1$. In this paper, we use Young integration to study the integral of determinate functions…

We introduce a canonical way of performing the joint lift of a Brownian motion $W$ and a low-regularity adapted stochastic rough path $\mathbf{X}$, extending [Diehl, Oberhauser and Riedel (2015). A L\'evy area between Brownian motion and…

We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under…

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…

We study derivatives of Schur and tau functions from the view point of the Abel-Jacobi map. We apply the results to establish several properties of derivatives of the sigma function of an (n,s) curve. As byproducts we have an expression of…

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…

The purpose of this paper is to extend the result of arXiv:1810.00823 to mixed H\"older functions on $[0,1]^d$ for all $d \ge 1$. In particular, we prove that by sampling an $\alpha$-mixed H\"older function $f : [0,1]^d \rightarrow…

We consider nonlinear parabolic evolution equations of the form $\partial_{t}u=F(t,x,Du,D^{2}u) $, subject to noise of the form $H(x,Du) \circ dB$ where $H$ is linear in $Du$ and $\circ dB$ denotes the Stratonovich differential of a…

In the paper we find effective formulas for the invariant functions, appearing in the theory of several complex variables, of the elementary Reinhardt domains. This gives us the first example of a large family of domains for which the…

We give an overview of the recent approach to the integration of rough paths that reduces the problem to classical Young integration. As an application, we extend an argument of Schwartz to rough differential equations, and prove the…

This short note provides an explicit description of the Fr\'echet derivatives of the principal square root matrix functional at any order. We present an original formulation that allows to compute sequentially the Fr\'echet derivatives of…

We define a deterministic integral with respect to irregular paths as a limit of standard line integrals and completely describe a class of all paths for which this integral exists for functions with H\"older exponent in the range of (0,1].…

We prove It{\^o}'s formula for the flow of measures associated with an It{\^o} process having a bounded drift and a uniformly elliptic and bounded diffusion matrix, and for functions in an appropriate Sobolev-type space. This formula is the…

Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…