相关论文: A priori estimates for rough PDEs with application…
We consider controlled differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A. M. Davie who considers first and second order schemes. In order to implement the general case…
In this paper, we investigate the well-posedness of weak solutions to the time-fractional Fokker-Planck equation. Its dynamics is governed by anomalous diffusion, and we consider the most general case of space-time dependent forces.…
Motivated by applications to fluid dynamics, we study rough differential equations (RDEs) and rough partial differential equations (RPDEs) with non-Lipschitz drifts. We prove well-posedness and existence of a flow for RDEs with Osgood…
In this work we consider a stochastic version of the Primitive Equations (PEs) of the ocean and the atmosphere and establish the existence and uniqueness of pathwise, strong solutions. The analysis employs novel techniques in contrast to…
We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of…
The averaging principle for slow-fast systems of various kind of stochastic (partial) differential equations has been extensively studied. An analogous result was shown for slow-fast systems of rough differential equations driven by random…
Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.
We prove a representation for the support of McKean Vlasov Equations. To do so, we construct functional quantizations for the law of Brownian motion as a measure over the (non-reflexive) Banach space of H\"older continuous paths. By solving…
The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory. As the starting point, we show that quasi-surely,…
Partial differential equations (PDEs) that fit scientific data can represent physical laws with explainable mechanisms for various mathematically-oriented subjects, such as physics and finance. The data-driven discovery of PDEs from…
Rough paths techniques give the ability to define solutions of stochastic differential equations driven by signals $X$ which are not semimartingales and whose $p$-variation is finite only for large values of $p$. In this context, rough…
We derive a Gronwall type inequality for mild solutions of non-autonomous parabolic rough partial differential equations (RPDEs). This inequality together with an analysis of the Cameron-Martin space associated to the noise, allows us to…
We consider a strongly coupled ODE-PDE system representing moving bottlenecks immersed in vehicular traffic. The PDE consists of a scalar conservation law modeling the traffic flow evolution and the ODE models the trajectory of a slow…
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…
We study solutions to backward differential equations that are driven hybridly by a deterministic discontinuous rough path $W$ of finite $q$-variation for $q \in [1, 2)$ and by Brownian motion $B$. To distinguish between integration of…
In this paper, approximate nonlinear self-adjointness for perturbed PDEs is introduced and its properties are studied. Consequently, approximate conservation laws which cannot be obtained by the approximate Noether theorem are constructed…
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives.
This article is concerned with the well-posedness of the "filtering equations", due to Zakai and Kushner-Stratonovich, arising in nonlinear stochastic filtering. In general situations, notably in correlated diffusion models and when signal…
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 approximations to a class of vector-valued equations of Burgers type driven by a multiplicative space-time white noise. A solution theory for this class of equations has been developed recently in [Hairer, Weber, Probab. Theory…