Exact dimension reduction for rough differential equations
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Rough paths (60L20) Rough partial differential equations (60L50) Numerical solutions to stochastic differential and integral equations (65C30)
Cites work
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- A course on rough paths. With an introduction to regularity structures
- A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
- A theory of regularity structures
- Approximation of Large-Scale Dynamical Systems
- Bilinear systems -- a new link to \(\mathcal{H}_2\)-norms, relations to stochastic systems, and further properties
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Differential equations driven by rough signals
- Discretisations of rough stochastic PDEs
- Eikonal equations and pathwise solutions to fully non-linear SPDEs
- scientific article; zbMATH DE number 3688420 (Why is no real title available?)
- Low-dimensional approximations of high-dimensional asset price models
- Model reduction and approximation. Theory and algorithms
- Model reduction for stochastic systems
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Numerical schemes for rough parabolic equations
- Partial differential equations driven by rough paths
- Rational matrix equations in stochastic control.
- Rough Burgers-like equations with multiplicative noise
- Rough differential equations with unbounded drift term
- Rough evolution equations
- Rough stochastic PDEs
- Runge-Kutta methods for rough differential equations
- Solving linear parabolic rough partial differential equations
- Solving the KPZ equation
- Stochastic differential equations and applications.
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- Topics in stochastic differential equations and rough path theory
- Type II singular perturbation approximation for linear systems with Lévy noise
- Young integrals and SPDEs
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