Partial differential equations driven by rough paths

DOI10.1016/j.jde.2009.01.026zbMath1167.35386arXiv0803.2178OpenAlexW2963597273MaRDI QIDQ1022929

Michael Caruana, Peter K. Friz

Publication date: 10 June 2009

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2178

zbMATH Keywords

unique bounded classical solutionweak geometric \(p\)-rough paths

Mathematics Subject Classification ID

Related Items (34)

Transport and continuity equations with (very) rough noise ⋮ Wong-Zakai approximation for Landau-Lifshitz-Gilbert equation driven by geometric rough paths ⋮ An explicit numerical scheme for the computer simulation of the stochastic transport equation ⋮ ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ Stochastic scalar conservation laws driven by rough paths ⋮ Scalar conservation laws with rough flux and stochastic forcing ⋮ Pathwise stochastic control with applications to robust filtering ⋮ Solving the KPZ equation ⋮ PARACONTROLLED DISTRIBUTIONS AND SINGULAR PDES ⋮ Variational principles for fluid dynamics on rough paths ⋮ Compensated fractional derivatives and stochastic evolution equations ⋮ Perturbed linear rough differential equations ⋮ The extension of step-N signatures ⋮ On the Navier-Stokes equation perturbed by rough transport noise ⋮ Variational Principles on Geometric Rough Paths and the Lévy Area Correction ⋮ Non-linear rough heat equations ⋮ Backward stochastic differential equations with rough drivers ⋮ Unbounded rough drivers ⋮ Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac ⋮ Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited ⋮ Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance ⋮ Rough path stability of (semi-)linear SPDEs ⋮ A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations ⋮ An Itô formula for rough partial differential equations and some applications ⋮ A priori estimates for rough PDEs with application to rough conservation laws ⋮ On the splitting-up method for rough (partial) differential equations ⋮ Rough Volterra equations. II: Convolutional generalized integrals ⋮ Discretizing the fractional Lévy area ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Rough stochastic PDEs ⋮ An energy method for rough partial differential equations ⋮ Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2\)]

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