相关论文: Controlling Rough Paths

We study finite-dimensional integrals in a way that elucidates the mathematical meaning behind the formal manipulations of path integrals occurring in quantum field theory. This involves a proper understanding of how Wick's theorem allows…

Without imposing restrictions on a weighted graph's arc lengths, symmetry structures cannot be expected. But, they exist. To find them, the graphs are decomposed into a component that dictates all closed path properties (e.g., shortest and…

The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by c\`adl\`ag rough paths. Moreover, it is shown that the associated solution map, also known as…

In [1], we proved the existence of solutions to reflected rough differential equations based on an idea of Euler approximation of the solutions which is due to Davie [6]. In this paper, we prove the existence theorem under weaker…

We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some…

We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…

We establish a simultaneous generalization of It\^o's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering,…

Backward stochastic differential equations (BSDEs) in the sense of Pardoux-Peng [Backward stochastic differential equations and quasilinear parabolic partial differential equations, Lecture Notes in Control and Inform. Sci., 176, 200--217,…

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…

Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely deterministic, calculus via regularization is based on…

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.

We provide a draft of a theory of geometric integration of rough differential forms which are generalizations of classical (smooth) differential forms to similar objects with very low regularity, for instance, involving H\"older continuous…

In this paper, we study reflected differential equations driven by continuous paths with finite $p$-variation ($1\le p<2$) and $p$-rough paths ($2\le p<3$) on domains in Euclidean spaces whose boundaries may not be smooth. We define…

Inspired by recent advances in singular SPDE theory, we use the Poincar\'e inequality on Wiener space to show that controlled complementary Young regularity is sufficient to obtain Gaussian rough paths lifts. This allows us to completely…

The theory of one-dimensional stochastic differential equations driven by Brownian motion is classical and has been largely understood for several decades. For stochastic differential equations with jumps the picture is still incomplete,…

We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form $\partial _tu-A_tu-f=(\dot X_t(x) \cdot \nabla + \dot Y_t(x))u$ on $[0,T]\times\mathbb{R}^d.$ To do so, we introduce a concept of…

We aim to completely formalize the rough topological analysis of integrable Hamiltonian systems admitting analytical solutions such that the initial phase variables along with the time derivatives of the auxiliary variables are expressed as…

This paper establishes a comprehensive theory of geometric rough paths for mixed fractional Brownian motion (MFBM) and its generalized multi-component extensions. We prove that for a generalized MFBM of the form $M_t^H(a) = \sum_{k=1}^N a_k…

Parallel transport, or path development, provides a rich characterization of paths which preserves the underlying algebraic structure of concatenation. The path signature is universal among such maps: any (translation-invariant) parallel…

Based on the notion of paracontrolled distributions, we provide existence and uniqueness results for rough Volterra equations of convolution type with potentially singular kernels and driven by the newly introduced class of convolutional…