Related papers: Ito maps and analysis on path spaces

Given a stochastic differential equation with path-dependent coefficients driven by a multidimensional Wiener process, we show that the support of the law of the solution is given by the image of the Cameron-Martin space under the flow of…

We describe, in an intrinsic way and using the global chart provided by Ito's parallel transport, a generalisation of the notion of geodesic (as critical path of an energy functional) to diffusion processes on Riemannian manifolds. These…

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…

This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…

We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong solutions is mainly based on a compactness criterion employing…

It is shown that a covariant derivative on any d-dimensional manifold M can be mapped to a set of d operators acting on the space of functions on the principal Spin(d)-bundle over M. In other words, any d-dimensional manifold can be…

In this paper, we first derive some explicit formulas for the computation of the n-th order divergence operator in Malliavin calculus in the one-dimensional case. We then extend these results to the case of isonormal Gaussian space. Our…

We study stochastic differential equations driven by finite-order chaos processes on abstract Wiener spaces, with pathwise Riemann-Stieltjes integration. The driving noise is an $\mathbb{R}^m$-valued chaotic process given by multiple…

We develop a theory of Malliavin calculus for Banach space valued random variables. Using radonifying operators instead of symmetric tensor products we extend the Wiener-Ito isometry to Banach spaces. In the white noise case we obtain two…

A differential calculus on an associative algebra A is an algebraic analogue of the calculus of differential forms on a smooth manifold. It supplies A with a structure on which dynamics and field theory can be formulated to some extent in…

This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable…

By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…

Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and…

We discuss a Steklov-type problem for Maxwell's equations which is related to an interior Calder\'{o}n operator and an appropriate Dirichlet-to-Neumann type map. The corresponding Neumann-to-Dirichlet map turns out to be compact and this…

This article proposes a method for forming invariant stochastic differential systems, namely dynamic systems with trajectories belonging to a given smooth manifold. The It\^o or Stratonovich stochastic differential equations with the Wiener…

We deal with Malliavin calculus on the $L^2$ space of the $W^*$-algebra generated by fermion fields (the Clifford algebra). First, we verify the product formula for multiple integrals in It\^o-Clifford calculus, which is It\^o calculus on…

Pathwise uniqueness for multi-dimensional stochastic McKean--Vlasov equation is established under moderate regularity conditions on the drift and diffusion coefficients. Both drift and diffusion depend on the marginal measure of the…

By using Hsu's multiplicative functional for the Neumann heat equation, a natural damped gradient operator is defined for the reflecting Brownian motion on compact manifolds with boundary. This operator is linked to quasi-invariant flows in…

We introduce the space of rough paths with Sobolev regularity and the corresponding concept of controlled Sobolev paths. Based on these notions, we study rough path integration and rough differential equations. As main result, we prove that…

We prove the existence and uniqueness of a projectively equivariant symbol map (in the sense of Lecomte and Ovsienko) for the spaces $D_p$ of differential operators transforming p-forms into functions. These results hold over a smooth…