Related papers: A Rough Functional Breuer-Major Theorem

We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the…

We consider special upwinding Petrov-Galerkin discretizations for convection-diffusion problems. For the one dimensional case with a standard continuous linear element as the trial space and a special exponential bubble test space, we prove…

We prove a realization theorem for rational functions of several complex variables which extends the main theorem of M. Bessmertnyi, "On realizations of rational matrix functions of several complex variables," in Vol. 134 of Oper. Theory…

The main tool for stochastic calculus with respect to a multidimensional process $B$ with small H\"older regularity index is rough path theory. Once $B$ has been lifted to a rough path, a stochastic calculus -- as well as solutions to…

In this note we study the error term R_{n,L}(x) in the generalized circle problem for a ball of volume x and a random lattice L of large dimension n. Our main result is the following functional central limit theorem: Fix an arbitrary…

In this paper, we prove some new thickness theorems with partial derivatives. We give some applications. First, we give a simple criterion that can judge whether two scaled Cantor sets have non-empty intersection. Second, we prove under…

In 2015, Yanni Chen, Don Hadwin and Junhao Shen proved a noncommutative version of Beurling's theorems for a continuous unitarily invariant norm $% \alpha $ on a tracial von Neumann algebra $\left( \mathcal{M},\tau \right) $ where $\alpha $…

Many problems in machine learning can be formulated as optimizing a convex functional over a vector space of measures. This paper studies the convergence of the mirror descent algorithm in this infinite-dimensional setting. Defining Bregman…

Fourier series multiscale method, a concise and efficient analytical approach for multiscale computation, will be developed out of this series of papers. In the sixth paper, exact analysis of the wave propagation in a beam with rectangular…

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…

Recently it has been shown that the heuristic Rosenfeld functional derives from the virial expansion for particles which overlap in one center. Here, we generalize this approach to any number of intersections. Starting from the virial…

All harmonic functions on $\mathbb C^m$ possess Liouville's property, which is well-known as the Liouville's theorem. In 1979, Kuz'menko and Molchanov discovered a phenomenon that the Liouville's property is not rigid for some harmonic…

Based on the multidimensional irreducible paving of De March & Touzi, we provide a multi-dimensional version of the quasi sure duality for the martingale optimal transport problem, thus extending the result of Beiglb\"ock, Nutz & Touzi.…

We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…

We prove sharp inequalities for the symmetric-decreasing rearrangement in Fourier space of functions in $\mathbb{R}^d$. Our main result can be applied to a general class of (pseudo-)differential operators in $\mathbb{R}^d$ of arbitrary…

We survey recent developments in the field of complexity of pathwise approximation in $p$-th mean of the solution of a stochastic differential equation at the final time based on finitely many evaluations of the driving Brownian motion.…

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 this paper we obtain a rate of convergence in the central limit theorem for high order weighted Hermite variations of the fractional Brownian motion. The proof is based on the techniques of Malliavin calculus and the quantitative stable…

We study a class of nonlinear Burgers-type stochastic partial differential equations driven by additive space-time white noise in one spatial dimension. Building on the rough path framework initiated by Hairer, which provides a pathwise…

Following their appearance in 2014, so-called shifted square and maximal functions have seen an eruption of use in the study of singular integral operators. In this paper, we will generalize a recent theorem of G. Dosidis, B. Park, and L.…