On the rough-paths approach to non-commutative stochastic calculus
From MaRDI portal
Publication:2436748
DOI10.1016/j.jfa.2013.04.008zbMath1291.46056arXiv1301.6238MaRDI QIDQ2436748
Publication date: 26 February 2014
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.6238
free Brownian motion; rough paths theory; approximation results; non-commutative stochastic calculus
Related Items
Banach *-algebras generated by semicircular elements induced by certain orthogonal projections, On stochastic calculus with respect to \(q\)-Brownian motion, On the signature of a path in an operator algebra, The Sewing lemma for \(0 < \gamma \leq 1\), Itô's formula for noncommutative \(C^2\) functions of free Itô processes, Integration with respect to the Hermitian fractional Brownian motion, Integration with respect to the non-commutative fractional Brownian motion
Cites Work
- Unnamed Item
- Unnamed Item
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Non-linear rough heat equations
- Wigner chaos and the fourth moment
- Backward stochastic differential equations with rough drivers
- Rough Volterra equations. II: Convolutional generalized integrals
- On free stochastic differential equations
- An example of a generalized Brownian motion
- Stochastic integration on the full Fock space with the help of a kernel calculus
- Free diffusions and matrix models with strictly convex interaction
- Differential equations driven by Gaussian signals
- Delay equations driven by rough paths
- Addition of certain non-commuting random variables
- Limit laws for random matrices and free products
- Stochastic integration on the Cuntz algebra \({\mathcal O}_ \infty\)
- Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
- \(q\)-Gaussian processes: Non-commutative and classical aspects
- Levy area for the free Brownian motion: existence and non-existence.
- Free Wishart processes
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Stochastic integration with respect to \(q\) Brownian motion
- Controlling rough paths
- Rough evolution equations
- Free Jacobi process
- Rough stochastic PDEs
- Multidimensional Stochastic Processes as Rough Paths
- Lectures on the Combinatorics of Free Probability
- ULTRACONTRACTIVITY AND STRONG SOBOLEV INEQUALITY FOR q-ORNSTEIN–UHLENBECK SEMIGROUP (-1 < q < 1)
- System Control and Rough Paths
- The Lévy area process for the free Brownian motion
- Free diffusions, free entropy and free Fisher information
