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
(60)- Flow equations on spaces of rough paths
- A priori estimates for rough PDEs with application to rough conservation laws
- Compensated fractional derivatives and stochastic evolution equations
- Bilinear equations in Hilbert space driven by paths of low regularity
- Robust filtering and propagation of uncertainty in hidden Markov models
- A first order description of a nonlinear SPDE in the spirit of rough paths
- An energy method for rough partial differential equations
- An explicit numerical scheme for the computer simulation of the stochastic transport equation
- Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion
- Solving linear parabolic rough partial differential equations
- Planarly branched rough paths and rough differential equations on homogeneous spaces
- Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance
- An Itô formula for rough partial differential equations and some applications
- Discretizing the fractional Lévy area
- Rough evolution equations
- Existence, uniqueness and stability of semi-linear rough partial differential equations
- On the Navier-Stokes equation perturbed by rough transport noise
- Rough path stability of (semi-)linear SPDEs
- Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2]\)
- Pathwise stochastic control with applications to robust filtering
- Variational principles for fluid dynamics on rough paths
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- Paracontrolled distributions and singular PDEs
- Stochastic scalar conservation laws driven by rough paths
- Rough stochastic PDEs
- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- Scalar conservation laws with rough flux and stochastic forcing
- Rough differential equations with unbounded drift term
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Solving the KPZ equation
- Perturbed linear rough differential equations
- A discrete approach to rough parabolic equations
- Non-linear rough heat equations
- Backward stochastic differential equations with rough drivers
- Flows Driven by Banach Space-Valued Rough Paths
- Unbounded rough drivers
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
- A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
- Pathwise solutions for fully nonlinear first- and second-order partial differential equations with multiplicative rough time dependence
- The extension of step-N signatures
- Regularity theory for rough partial differential equations and parabolic comparison revisited
- On the splitting-up method for rough (partial) differential equations
- Rough Volterra equations. II: Convolutional generalized integrals
- Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
- Rough differential equations with path-dependent coefficients
- Variational Principles on Geometric Rough Paths and the Lévy Area Correction
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- Initial-boundary value problem for transport equations driven by rough paths
- Topics in stochastic differential equations and rough path theory
- Multidimensional backward stochastic differential equations with rough drifts
- Pathwise definition of second-order SDEs
- Regularization by noise for rough differential equations driven by Gaussian rough paths
- On the well-posedness of (nonlinear) rough continuity equations
- Reflected backward stochastic differential equations with rough drivers
- Wong-Zakai approximation for Landau-Lifshitz-Gilbert equation with anisotropy energy driven by geometric rough paths
- Exact dimension reduction for rough differential equations
- Averaging principle for slow-fast systems of PDEs with rough drivers
- Transport and continuity equations with (very) rough noise
- Wong-Zakai approximation for Landau-Lifshitz-Gilbert equation driven by geometric rough paths
- Rough differential equations driven by signals in Besov spaces
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