Controlling rough paths
From MaRDI portal
Abstract: We formulate indefinite integration with respect to an irregular function as an algebraic problem and provide a criterion for the existence and uniqueness of a solution. This allows us to define a good notion of integral with respect to irregular paths with Hoelder exponent greater than 1/3 (e.g. samples of Brownian motion) and study the problem of the existence, uniqueness and continuity of solution of differential equations driven by such paths. We recover Young's theory of integration and the main results of Lyons' theory of rough paths in Hoelder topology.
The author presents integration with respect to an irregular function as an algebraic problem which has a unique solution under some analytic constraints. The starting point is an observation that if \(f\in C(\mathbb R)\) and is bounded, \(x\in C^1(\mathbb R)\), then \(a_t=\int_0^tf_u\,dx_u\), \(r_{st}=\int_0^t(f_u-f_s)\,dx_u\) is a unique solution of the equation \(f_s(x_t-x_s)=a_t-a_s-r_{st}\), under the conditions \(\lim_{t\to s}(| r_{st}| /| t-s| )=0\), \(a\in C^1(\mathbb R)\), \(a_0=0\), \(r\in C({\mathbb R}^2)\). As this equation makes sense for any \(f, x\), it suggests a possibility to generalize \(\int f\,dx\) for functions not necessarily of finite variation. Indeed, a good notion of integral is defined with respect to paths with Hölder exponent greater than 1/3, and the problem of existence, uniqueness and continuity of solutions of the differential equation driven by such paths is studied. This generalizes Young's theory of integration, and main results of Lyons' theory of rough paths in Hölder topology are obtained.
Recommendations
- System Control and Rough Paths
- scientific article; zbMATH DE number 1971703
- Rough path conditions for smooth paths
- scientific article; zbMATH DE number 2212142
- scientific article; zbMATH DE number 2050982
- Constrained rough paths
- Smooth rough paths and the applications
- Ramification of rough paths
- Robust control in a rough environment
- Controlled rough paths on manifolds. I.
Cites work
- An inequality of the Hölder type, connected with Stieltjes integration
- An introduction to the theory of large deviations
- Approximations of the Brownian rough path with applications to stochastic analysis
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Differential equations driven by rough signals
- scientific article; zbMATH DE number 2127969 (Why is no real title available?)
- scientific article; zbMATH DE number 5020095 (Why is no real title available?)
- Stochastic currents
- System Control and Rough Paths
Cited in
(only showing first 100 items - show all)- Nonautonomous Young differential equations revisited
- Stability for a class of semilinear fractional stochastic integral equations
- Discretisations of rough stochastic PDEs
- Multidimensional SDEs with singular drift and universal construction of the polymer measure with white noise potential
- Controlled rough paths on manifolds. I.
- Sensitivity of rough differential equations: an approach through the omega lemma
- On stochastic calculus with respect to \(q\)-Brownian motion
- Differential equations driven by rough paths with jumps
- An invariance principle for the two-dimensional parabolic Anderson model with small potential
- A Stratonovich-Skorohod integral formula for Gaussian rough paths
- Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise
- Quasilinear SPDEs via rough paths
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- Algebraic renormalisation of regularity structures
- Large deviation principle for a stochastic Allen-Cahn equation
- Decay rate of iterated integrals of branched rough paths
- Lattice approximation to the dynamical \(\Phi_{3}^{4}\) model
- Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- SPDEs with colored Gaussian noise: a survey
- Renormalisation of parabolic stochastic PDEs
- Paracontrolled distributions and the 3-dimensional stochastic quantization equation
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Rough Burgers-like equations with multiplicative noise
- On inference for fractional differential equations
- Time reversal of Volterra processes driven stochastic differential equations
- Generalized Burgers equation with rough transport noise
- On Sobolev rough paths
- Rough differential equations with power type nonlinearities
- Convergence rate for Galerkin approximation of the stochastic Allen-Cahn equations on 2D torus
- A PDE construction of the Euclidean ^4_3 quantum field theory
- Hairer's reconstruction theorem without regularity structures
- A dynamical theory for singular stochastic delay differential equations. II: Nonlinear equations and invariant manifolds
- Propagation of chaos for mean field rough differential equations
- Young and rough differential inclusions
- Paracontrolled calculus and regularity structures I.
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- Robust filtering and propagation of uncertainty in hidden Markov models
- Stochastic analysis with modelled distributions
- The non-linear sewing lemma. II. Lipschitz continuous formulation
- On the definition of a solution to a rough differential equation
- An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields
- Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent
- Approximation of SDEs: a stochastic sewing approach
- Stability of solutions of stochastic differential equations weakly controlled by rough paths with arbitrary positive Hölder exponent
- Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
- Constructing general rough differential equations through flow approximations
- Random attractors for dissipative systems with rough noises
- Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
- Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
- Regularization by random translation of potentials for the continuous PAM and related models in arbitrary dimension
- Sweeping processes perturbed by rough signals
- A note on log-log blow up solutions for stochastic nonlinear Schrödinger equations
- A first order description of a nonlinear SPDE in the spirit of rough paths
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- A new definition of rough paths on manifolds
- Rough homogenisation with fractional dynamics
- An energy method for rough partial differential equations
- Construction of minimal mass blow-up solutions to rough nonlinear Schrödinger equations
- A generalized change of variable formula for the Young integral
- Regularity results for nonlinear Young equations and applications
- Global well-posedness for the defocussing mass-critical stochastic nonlinear Schrödinger equation on \(\mathbb{R}\) at \(L^2\) regularity
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)
- Skorohod and Stratonovich integrals for controlled processes
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques
- Renormalisation from non-geometric to geometric rough paths
- Distribution dependent SDEs driven by fractional Brownian motions
- Lipschitz-stability of controlled rough paths and rough differential equations
- Stochastic parabolic equations with singular potentials
- The Sewing lemma for \(0 < \gamma \leq 1\)
- On exterior differential systems involving differentials of Hölder functions
- Rough integration via fractional calculus
- Density bounds for solutions to differential equations driven by Gaussian rough paths
- Global solutions and random dynamical systems for rough evolution equations
- Solving mean field rough differential equations
- Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion
- A stochastic sewing lemma and applications
- The non-linear sewing lemma III: stability and generic properties
- Planarly branched rough paths and rough differential equations on homogeneous spaces
- Penalisation techniques for one-dimensional reflected rough differential equations
- The infinitesimal generator of the stochastic Burgers equation
- Quasilinear rough partial differential equations with transport noise
- An Itô formula for rough partial differential equations and some applications
- A note on the applications of Wick products and Feynman diagrams in the study of singular partial differential equations
- Discrete rough paths and limit theorems
- Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
- A brief and personal history of stochastic partial differential equations
- Well-posedness and large deviations for 2D stochastic constrained Navier-Stokes equations driven by Lévy noise in the Marcus canonical form
- Paracontrolled distribution approach to stochastic Volterra equations
- New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
- Rough nonlocal diffusions
- Volterra equations driven by rough signals
- A law of large numbers for interacting diffusions via a mild formulation
- Geometric versus non-geometric rough paths
- Discretizing the fractional Lévy area
- Rough evolution equations
- A non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis
- A fractional calculus approach to rough integration
- Remarks on Föllmer's pathwise Itô calculus
This page was built for publication: Controlling rough paths
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1888794)
