Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
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Abstract: A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to stochastic differential equations driven by Brownian motion. We also give some other examples showing that the main results are reasonably sharp.
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Cited in
(only showing first 100 items - show all)- Differential equations driven by rough signals
- Differential equations driven by rough paths with jumps
- Rough integrators on Banach manifolds
- Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- A priori estimates for rough PDEs with application to rough conservation laws
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- Controlling rough paths
- Young and rough differential inclusions
- The non-linear sewing lemma. II. Lipschitz continuous formulation
- On the definition of a solution to a rough differential equation
- Constructing general rough differential equations through flow approximations
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- An energy method for rough partial differential equations
- A generalized change of variable formula for the Young integral
- Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case
- Smooth rough paths, their geometry and algebraic renormalization
- Lipschitz-stability of controlled rough paths and rough differential equations
- Solution properties of the incompressible Euler system with rough path advection
- Weighted Lépingle inequality
- Homogenisation for anisotropic kinetic random motions
- 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
- Area anomaly in the rough path Brownian scaling limit of hidden Markov walks
- Non-explosion criteria for rough differential equations driven by unbounded vector fields
- An Itô formula for rough partial differential equations and some applications
- Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
- On a rough perturbation of the Navier-Stokes system and its vorticity formulation
- Geometric versus non-geometric rough paths
- Discretizing the fractional Lévy area
- One-dimensional reflected rough differential equations
- Path developments and tail asymptotics of signature for pure rough paths
- The non-linear sewing lemma I: weak formulation
- Deterministic homogenization for fast-slow systems with chaotic noise
- Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
- Convergence rates for the full Gaussian rough paths
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
- Euler estimates for rough differential equations
- Rough path recursions and diffusion approximations
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- A priori bounds for rough differential equations with a non-linear damping term
- Variational principles for fluid dynamics on rough paths
- From rough path estimates to multilevel Monte Carlo
- A moment estimate of the derivative process in rough path theory
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- The inverse problem for rough controlled differential equations
- Geometric foundations of rough paths
- On the pathwise approximation of stochastic differential equations
- Constrained rough paths
- Yet another introduction to rough paths
- Perturbed linear rough differential equations
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Numerical schemes for rough parabolic equations
- scientific article; zbMATH DE number 1971703 (Why is no real title available?)
- Flows Driven by Banach Space-Valued Rough Paths
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
- Rough path theory and stochastic calculus
- A theory of regularity structures
- scientific article; zbMATH DE number 774034 (Why is no real title available?)
- Reflected rough differential equations
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Rough center manifolds
- Rough path theory to approximate random dynamical systems
- On nonlinear rough paths
- Solving rough differential equations with the theory of regularity structures
- Dimension-free Euler estimates of rough differential equations
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
- Peano's theorem for rough differential equations in infinite-dimensional Banach spaces
- Stability of Deep Neural Networks via Discrete Rough Paths
- The maximum rate of convergence for the approximation of the fractional Lévy area at a single point
- Numerical Attractors for Rough Differential Equations
- Total variation bound for Milstein scheme without iterated integrals
- Rough differential equations with path-dependent coefficients
- Nonlinear Young differential equations: a review
- Rough paths and SPDE
- Rough semimartingales and p-variation estimates for martingale transforms
- Variational Principles on Geometric Rough Paths and the Lévy Area Correction
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- The accessibility problem for geometric rough differential equations
- Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach)
- Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation
- Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation
- Rough differential equations containing path-dependent bounded variation terms
- Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates
- Topics in stochastic differential equations and rough path theory
- Multidimensional backward stochastic differential equations with rough drifts
- Hairer's multilevel Schauder estimates without regularity structures
- Error distribution for one-dimensional stochastic differential equations driven by fractional Brownian motion
- Regularization by noise for rough differential equations driven by Gaussian rough paths
- A new inequality for the Riemann-Stieltjes integrals driven by irregular signals in Banach spaces
- A tourist's guide to regularity structures and singular stochastic PDEs
- Stability criteria for rough systems
- On the well-posedness of (nonlinear) rough continuity equations
- Flows driven by multi-indices rough paths
- Pathwise uniqueness for multiplicative Young and rough differential equations driven by fractional Brownian motion
- Stochastic sewing lemma on Wasserstein space
- An interpolation of discrete rough differential equations and its applications to analysis of error distributions
- Taming singular stochastic differential equations: a numerical method
- Pathwise convergence of the Euler scheme for rough and stochastic differential equations
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