Related papers: Unbounded rough drivers, rough PDEs and applicatio…
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…
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…
We propose a definition of viscosity solutions to fully nonlinear PDEs driven by a rough path via appropriate notions of test functions and rough jets. These objects will be defined as controlled processes with respect to the driving rough…
Some of recent developments, including recent results, ideas, techniques, and approaches, in the study of degenerate partial differential equations are surveyed and analyzed. Several examples of nonlinear degenerate, even mixed, partial…
An overview of some recent results on the geometry of partial differential equations in application to integrable systems is given. Lagrangian and Hamiltonian formalism both in the free case (on the space of infinite jets) and with…
We provide a necessary and sufficient condition for a rough control driving a differential equation to be reconstructable, to some order, from observing the resulting controlled evolution. Physical examples and applications in stochastic…
In this note we introduce a new approach to rough and stochastic partial differential equations (RPDEs and SPDEs): we consider general Banach spaces as state spaces and -- for the sake of simiplicity -- finite dimensional sources of noise,…
We continue the approach in Part I \cite{duchong19} to study stationary states of controlled differential equations driven by rough paths, using the framework of random dynamical systems and random attractors. Part II deals with driving…
This is largely an attempt to provide probabilists some orientation to an important class of non-linear partial differential equations in applied mathematics, the incompressible Navier-Stokes equations. Particular focus is given to the…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
We give meaning to linear and semi-linear (possibly degenerate) parabolic partial differential equations with (affine) linear rough path noise and establish stability in a rough path metric. In the case of enhanced Brownian motion (Brownian…
We study controlled differential equations driven by a rough path (in the sense of T. Lyons) with an additional, possibly unbounded drift term. We show that the equation induces a solution flow if the drift grows at most linearly.…
After an historical introduction on the standard algebraic approach to quantum mechanics of large systems we review the basic mathematical aspects of the algebras of unbounded operators. After that we discuss in some details their relevance…
We consider parabolic PDEs associated with fractional type operators drifted by non-linear singular first order terms. When the drift enjoys some boundedness properties in appropriate Lebesgue and Besov spaces, we establish by exploiting a…
We prove existence of global solutions for differential equations driven by a geometric rough path under the condition that the vector fields have linear growth. We show by an explicit counter-example that the linear growth condition is not…
In this article, we illustrate the flexibility of the algebraic integration formalism introduced by M. Gubinelli (2004), by establishing an existence and uniqueness result for delay equations driven by rough paths. We then apply our results…
We study in this article a new pointwise estimate for ''rough'' singular integral operators. From this pointwise estimate we will derive Sobolev type inequalities in a variety of functional spaces.
We study fully nonlinear second-order (forward) stochastic partial differential equations (SPDEs). They can also be viewed as forward path-dependent PDEs (PPDEs) and will be treated as rough PDEs (RPDEs) under a unified framework. We…
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…
We develop a fundamental framework for and extend the theory of rough paths to Lipschitz-gamma manifolds.