Partial differential equations driven by rough paths
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Abstract: We study a class of linear first and second order partial differential equations driven by weak geometric -rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving rough path. This allows a robust approach to stochastic partial differential equations. In particular, we may replace Brownian motion by more general Gaussian and Markovian noise. Support theorems and large deviation statements all became easy corollaries of the corresponding statements of the driving process. In the case of first order equations with Gaussian noise, we discuss the existence of a density with respect to the Lebesgue measure for the solution.
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Cited in
(55)- Multidimensional backward stochastic differential equations with rough drifts
- Initial-boundary value problem for transport equations driven by rough paths
- Topics in stochastic differential equations and rough path theory
- Regularization by noise for rough differential equations driven by Gaussian rough paths
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
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- An energy method for rough partial differential equations
- Rough differential equations with path-dependent coefficients
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- Robust filtering and propagation of uncertainty in hidden Markov models
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- Wong-Zakai approximation for Landau-Lifshitz-Gilbert equation driven by geometric rough paths
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- Compensated fractional derivatives and stochastic evolution equations
- Pathwise stochastic control with applications to robust filtering
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