相关论文: A Stratonovich-Skorohod integral formula for Gauss…

We develop a set of techniques that enable us to effectively recover Besov rough analysis from p-variation rough analysis. Central to our approach are new metric groups, in which some objects in rough path theory that have been previously…

We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…

We consider stochastic differential equations dY=V(Y)dX driven by a multidimensional Gaussian process X in the rough path sense. Using Malliavin Calculus we show that Y(t) admits a density for t in (0,T] provided (i) the vector fields…

We develop efficient numerical integration methods for computing an integral whose integrand is a product of a smooth function and the Gaussian function with a small standard deviation. Traditional numerical integration methods applied to…

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,…

In this article, we consider the so-called modified Euler scheme for stochastic differential equations (SDEs) driven by fractional Brownian motions (fBm) with Hurst parameter $\frac13<H<\frac12$. This is a first-order time-discrete…

We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical method. The contribution of this paper is threefold. First, we…

We study a model of the motion by mean curvature of an (1+1) dimensional interface in a 2D Brownian velocity field. For the well-posedness of the model we prove existence and uniqueness for certain degenerate nonlinear stochastic evolution…

Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using…

We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…

We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…

A general procedure for deriving the path integral representation of a transition amplitude on the gauge orbit space having a non-trivial topology is proposed. The path integral formula appears to be modified by including trajectories…

In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral is a…

Let X be a smooth complex projective variety, and let Y in X be a smooth very ample hypersurface such that -K_Y is nef. Using the technique of relative Gromov-Witten invariants, we give a new short and geometric proof of (a version of) the…

This paper deals with stochastic integrals of form $\int_0^T f(X_u)d Y_u$ in a case where the function $f$ has discontinuities, and hence the process $f(X)$ is usually of unbounded $p$-variation for every $p\geq 1$. Consequently,…

Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…

We combine the rough path theory and stochastic backward error analysis to develop a new framework for error analysis on numerical schemes. Based on our approach, we prove that the almost sure convergence rate of the modified Milstein…

A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…

Interfacial Stokes flow can be efficiently computed using the Boundary Integral Equation method. In 3D, the fluid velocity at a target point is given by a 2D surface integral over all interfaces, thus reducing the dimension of the problem.…

We augment a thermodynamically consistent diffuse interface model for the description of line tension phenomena by multiplicative stochastic noise to capture the effects of thermal fluctuations and establish the existence of pathwise unique…