Multidimensional Stochastic Processes as Rough Paths

DOI10.1017/CBO9780511845079zbMath1193.60053OpenAlexW617501864MaRDI QIDQ3407274

Peter K. Friz, Nicolas Victoir

Publication date: 4 March 2010

Full work available at URL: https://doi.org/10.1017/cbo9780511845079

zbMATH Keywords

Brownian motionstochastic processesMalliavin calculusstochastic differential equationslarge deviationsstochastic flowsrough differential equationsrough path theorysupport theoremsgeometric rough paths

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of functional analysis in probability theory and statistics (46N30)

Related Items

Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma ⋮ Extensions of the sewing lemma with applications ⋮ Nonautonomous Young differential equations revisited ⋮ Averaging principle for fast-slow system driven by mixed fractional Brownian rough path ⋮ Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions ⋮ Smooth approximation of stochastic differential equations ⋮ The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory ⋮ Transport and continuity equations with (very) rough noise ⋮ Heat trace asymptotics on equiregular sub-Riemannian manifolds ⋮ Time-warping invariants of multidimensional time series ⋮ Embedding and learning with signatures ⋮ On a set-valued Young integral with applications to differential inclusions ⋮ Averaging along irregular curves and regularisation of ODEs ⋮ Fractal dimensions of rough differential equations driven by fractional Brownian motions ⋮ Rough paths and 1d SDE with a time dependent distributional drift: application to polymers ⋮ Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions ⋮ Stochastic scalar conservation laws driven by rough paths ⋮ The enhanced Sanov theorem and propagation of chaos ⋮ Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs ⋮ Support theorem for a singular SPDE: the case of gPAM ⋮ On probability laws of solutions to differential systems driven by a fractional Brownian motion ⋮ A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\) ⋮ On a modelled rough heat equation ⋮ On the pathwise approximation of stochastic differential equations ⋮ Multidimensional SDEs with singular drift and universal construction of the polymer measure with white noise potential ⋮ Malliavin calculus for regularity structures: the case of gPAM ⋮ Mutual intersection for rough differential systems driven by fractional Brownian motions ⋮ Rough linear transport equation with an irregular drift ⋮ Scalar conservation laws with rough flux and stochastic forcing ⋮ Rough differential equations with unbounded drift term ⋮ Maximum principle for general controlled systems driven by fractional Brownian motions ⋮ Cubature on Wiener space: pathwise convergence ⋮ Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths ⋮ Integrability and tail estimates for Gaussian rough differential equations ⋮ A support and density theorem for Markovian rough paths ⋮ Solving the KPZ equation ⋮ Monotonic homotopy for trajectories of Young systems ⋮ Probabilistic aspects of finance ⋮ On Stratonovich and Skorohod stochastic calculus for Gaussian processes ⋮ Robust filtering: correlated noise and multidimensional observation ⋮ Smooth density for some nilpotent rough differential equations ⋮ Pathwise solutions of SPDEs driven by Hölder-continuous integrators with exponent larger than \(1/2\) and random dynamical systems ⋮ A uniform estimate for rough paths ⋮ Stochastic areas, winding numbers and Hopf fibrations ⋮ Expected signature of Brownian motion up to the first exit time from a bounded domain ⋮ Perturbed linear rough differential equations ⋮ Uniqueness of signature for simple curves ⋮ Asymptotics of spectral gaps on loop spaces over a class of Riemannian manifolds ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ A new theorem on the existence of the Riemann-Stieltjes integral and an improved version of the Loéve-Young inequality ⋮ Ergodicity of a generalized Jacobi equation and applications ⋮ Large deviation principle for certain spatially lifted Gaussian rough path ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ A (rough) pathwise approach to a class of non-linear stochastic partial differential equations ⋮ Rough differential equations driven by signals in Besov spaces ⋮ Numerical schemes for rough parabolic equations ⋮ Differential equations driven by rough paths with jumps ⋮ Non-linear rough heat equations ⋮ From constructive field theory to fractional stochastic calculus. I: An introduction: Rough path theory and perturbative heuristics ⋮ Backward stochastic differential equations with rough drivers ⋮ Malliavin calculus and rough paths ⋮ Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows ⋮ Parameter estimation for rough differential equations ⋮ Integrability of solutions to mixed stochastic differential equations ⋮ 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 ⋮ Computation of \(p\)-variation ⋮ On a Chen-Fliess approximation for diffusion functionals ⋮ A Stratonovich-Skorohod integral formula for Gaussian rough paths ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise ⋮ Smoothness of the density for solutions to Gaussian rough differential equations ⋮ From constructive field theory to fractional stochastic calculus. II: Constructive proof of convergence for the Lévy area of fractional Brownian motion with Hurst index \(\alpha \in \left(\frac{1}{8},\frac{1}{4}\right)\) ⋮ On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity ⋮ Reflected rough differential equations ⋮ A new inequality for the Riemann-Stieltjes integrals driven by irregular signals in Banach spaces ⋮ On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \) ⋮ A construction of the rough path above fractional Brownian motion using Volterra's representation ⋮ Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion ⋮ On the splitting-up method for rough (partial) differential equations ⋮ The rough path associated to the multidimensional analytic fBm with any Hurst parameter ⋮ Rough paths analysis of general Banach space-valued Wiener processes ⋮ Duality on gradient estimates and Wasserstein controls ⋮ Densities for rough differential equations under Hörmander's condition ⋮ Lévy area for Gaussian processes: a double Wiener-Itô integral approach ⋮ Rough Volterra equations. II: Convolutional generalized integrals ⋮ Controlled differential equations as Young integrals: a simple approach ⋮ A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering ⋮ Hölder-continuous rough paths by Fourier normal ordering ⋮ Vanishing of one-dimensional \(L^2\)-cohomologies of loop groups ⋮ Pathwise stochastic integrals for model free finance ⋮ Taylor schemes for rough differential equations and fractional diffusions ⋮ Discretely sampled signals and the rough Hoff process ⋮ Complex analysis and rough paths ⋮ The uniqueness of signature problem in the non-Markov setting ⋮ Regular trajectories of Young systems ⋮ Stein's method for rough paths ⋮ Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters \(H\in (1/3,1/2\)] ⋮ Rough path recursions and diffusion approximations ⋮ The signature of a rough path: uniqueness ⋮ Stochastic shell models driven by a multiplicative fractional Brownian-motion ⋮ Invariance for rough differential equations ⋮ A moment estimate of the derivative process in rough path theory ⋮ Small time asymptotics on the diagonal for Hörmander's type hypoelliptic operators ⋮ Optimal rate of convergence for stochastic Burgers-type equations ⋮ ESTIMATES FOR THE SOLUTION TO STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H ∈ (⅓, ½) ⋮ ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ A renormalized rough path over fractional Brownian motion ⋮ Global Solutions to Rough Differential Equations with Unbounded Vector Fields ⋮ Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ From random walks to rough paths ⋮ Constrained rough paths ⋮ Nonlinear PDEs with Modulated Dispersion I: Nonlinear Schrödinger Equations ⋮ On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions ⋮ The Relation Between Mixed and Rough SDEs and Its Application to Numerical Methods ⋮ Weak approximation of a fractional SDE ⋮ Deterministic homogenization for fast-slow systems with chaotic noise ⋮ Stochastic control with rough paths ⋮ Random dynamical systems, rough paths and rough flows ⋮ G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion ⋮ Flows Driven by Banach Space-Valued Rough Paths ⋮ Pathwise stochastic control with applications to robust filtering ⋮ Young differential equations with power type nonlinearities ⋮ Towards geometric integration of rough differential forms ⋮ Large deviation principle for fractional Brownian motion with respect to capacity ⋮ Finite dimensional characteristic functions of Brownian rough path ⋮ Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains ⋮ Integration of controlled rough paths via fractional calculus ⋮ On a fractional stochastic Hodgkin–Huxley model ⋮ Local times of stochastic differential equations driven by fractional Brownian motions ⋮ PARACONTROLLED DISTRIBUTIONS AND SINGULAR PDES ⋮ A gradient estimate for the heat semi-group without hypoellipticity assumptions ⋮ A priori bounds for rough differential equations with a non-linear damping term ⋮ Physical Brownian motion in a magnetic field as a rough path ⋮ Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes ⋮ Random walks and Lévy processes as rough paths ⋮ The Inverse Problem for Rough Controlled Differential Equations ⋮ Elementary Pathwise Methods for Nonlinear Parabolic and Transport Type Stochastic Partial Differential Equations with Fractal Noise ⋮ Variational principles for fluid dynamics on rough paths ⋮ An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting ⋮ Positivity of the density for rough differential equations ⋮ Integration with respect to the non-commutative fractional Brownian motion ⋮ On the Navier-Stokes equation perturbed by rough transport noise ⋮ Various perturbations of time dependent maximal monotone/accretive operators in evolution inclusions with applications ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ Wong-Zakai type approximations of rough random dynamical systems by smooth noise ⋮ On the rough-paths approach to non-commutative stochastic calculus ⋮ Unbounded rough drivers ⋮ Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac ⋮ Porous media equations with nonlinear gradient noise and Dirichlet boundary conditions ⋮ Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions ⋮ Convergence rates for the full Gaussian rough paths ⋮ Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\) ⋮ Differential Equations Driven byΠ-Rough Paths ⋮ The partial sum process of orthogonal expansions as geometric rough process with Fourier series as an example -- an improvement of Menshov-Rademacher theorem ⋮ Rough path stability of (semi-)linear SPDEs ⋮ Perron’s method for pathwise viscosity solutions ⋮ Rough path theory and stochastic calculus ⋮ VARIETIES OF SIGNATURE TENSORS ⋮ Learning with Signatures ⋮ Euler estimates for rough differential equations ⋮ Nonparametric estimation for i.i.d. paths of fractional SDE ⋮ Malliavin differentiability of solutions of rough differential equations ⋮ Geometric versus non-geometric rough paths ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ Discretizing the fractional Lévy area ⋮ Rough evolution equations ⋮ A fractional calculus approach to rough integration ⋮ One-dimensional reflected rough differential equations ⋮ Gaussian and non-Gaussian processes of zero power variation ⋮ Sensitivitiesviarough paths ⋮ Concentration inequalities for stochastic differential equations with additive fractional noise ⋮ Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\) ⋮ Brownian motion on stationary random manifolds ⋮ Varadhan estimates for rough differential equations driven by fractional Brownian motions ⋮ Integrals along rough paths via fractional calculus ⋮ Simple piecewise geodesic interpolation of simple and Jordan curves with applications ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ Backward stochastic differential equations with Young drift ⋮ Non-degeneracy of Wiener functionals arising from rough differential equations ⋮ Path developments and tail asymptotics of signature for pure rough paths ⋮ Functional limit theorems for power series with rapid decay of moving averages of Hermite processes ⋮ Convergence of Multi-Dimensional Quantized SDE’s ⋮ On the support of solutions to stochastic differential equations with path-dependent coefficients ⋮ Rough stochastic PDEs ⋮ A quasi-sure non-degeneracy property for the Brownian rough path ⋮ The non-linear sewing lemma I: weak formulation ⋮ An isomorphism between branched and geometric rough paths ⋮ Yet another introduction to rough paths ⋮ Local mild solutions for rough stochastic partial differential equations ⋮ A rough path perspective on renormalization ⋮ On the adjoint of the Eulerian idempotent in an analytic context ⋮ Nonparametric estimation in fractional SDE ⋮ Rough flows ⋮ On A Priori Estimates for Rough PDEs ⋮ The rough Veronese variety ⋮ Invariants of multidimensional time series based on their iterated-integral signature ⋮ Rate of convergence for discretization of integrals with respect to fractional Brownian motion ⋮ Pathwise Taylor expansions for random fields on multiple dimensional paths ⋮ STOCHASTIC VOLTERRA EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H > 1/2 ⋮ Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM ⋮ Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case ⋮ Monte Carlo construction of cubature on Wiener space ⋮ An explicit numerical scheme for the computer simulation of the stochastic transport equation ⋮ On ill-posedness of nonlinear stochastic wave equations driven by rough noise ⋮ Skorohod and Stratonovich integrals for controlled processes ⋮ Euler scheme for fractional delay stochastic differential equations by rough paths techniques ⋮ Iterated invariance principle for slowly mixing dynamical systems ⋮ Smooth rough paths, their geometry and algebraic renormalization ⋮ Deterministic homogenization under optimal moment assumptions for fast-slow systems. II ⋮ Lipschitz-stability of controlled rough paths and rough differential equations ⋮ Solution properties of the incompressible Euler system with rough path advection ⋮ On exterior differential systems involving differentials of Hölder functions ⋮ Weighted Lépingle inequality ⋮ Stochastic flows and rough differential equations on foliated spaces ⋮ Rough integration via fractional calculus ⋮ Density bounds for solutions to differential equations driven by Gaussian rough paths ⋮ On a maximal inequality and its application to SDEs with singular drift ⋮ Donsker's theorem in Wasserstein-1 distance ⋮ Global solutions and random dynamical systems for rough evolution equations ⋮ A stability result for stochastic differential equations driven by fractional Brownian motions ⋮ A support theorem for SLE curves ⋮ Solving mean field rough differential equations ⋮ A stochastic sewing lemma and applications ⋮ Homogenisation for anisotropic kinetic random motions ⋮ Solving linear parabolic rough partial differential equations ⋮ Rough Burgers-like equations with multiplicative noise ⋮ Smoothness of densities for area-like processes of fractional Brownian motion ⋮ Laplace approximation for rough differential equation driven by fractional Brownian motion ⋮ On inference for fractional differential equations ⋮ The non-linear sewing lemma III: stability and generic properties ⋮ Iterated-sums signature, quasisymmetric functions and time series analysis ⋮ Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ Area anomaly in the rough path Brownian scaling limit of hidden Markov walks ⋮ Signatures of paths transformed by polynomial maps ⋮ Time reversal of Volterra processes driven stochastic differential equations ⋮ Stein's method for diffusive limits of queueing processes ⋮ Superdiffusive limits for deterministic fast-slow dynamical systems ⋮ Selection properties and set-valued Young integrals of set-valued functions ⋮ Lyapunov spectrum of nonautonomous linear Young differential equations ⋮ Non-explosion criteria for rough differential equations driven by unbounded vector fields ⋮ Quasilinear rough partial differential equations with transport noise ⋮ Toric geometry of path signature varieties ⋮ An Itô formula for rough partial differential equations and some applications ⋮ A note on the applications of Wick products and Feynman diagrams in the study of singular partial differential equations ⋮ Discrete rough paths and limit theorems ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case ⋮ Small ball probabilities, metric entropy and Gaussian rough paths ⋮ A priori estimates for rough PDEs with application to rough conservation laws ⋮ Well-posedness of nonlinear diffusion equations with nonlinear, conservative noise ⋮ Hölder parameterization of iterated function systems and a self-affine phenomenon ⋮ Rough nonlocal diffusions ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ Asymptotical stability of differential equations driven by Hölder continuous paths ⋮ Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions ⋮ On a rough perturbation of the Navier-Stokes system and its vorticity formulation ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ On Sobolev rough paths ⋮ Duality for pathwise superhedging in continuous time ⋮ Rough differential equations with power type nonlinearities ⋮ Renormalisation of parabolic stochastic PDEs ⋮ Regularity of SLE in \((t,\kappa)\) and refined GRR estimates ⋮ Central limit theorems for non-symmetric random walks on nilpotent covering graphs. II ⋮ Propagation of chaos for mean field rough differential equations ⋮ Skorohod and rough integration for stochastic differential equations driven by Volterra processes ⋮ Continuity in \(\kappa\) in \(\mathrm{SLE}_\kappa\) theory using a constructive method and rough path theory ⋮ At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem ⋮ Stochastic analysis with modelled distributions ⋮ The non-linear sewing lemma. II. Lipschitz continuous formulation ⋮ An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields ⋮ Rough invariance principle for delayed regenerative processes ⋮ One-dimensional game-theoretic differential equations ⋮ Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus ⋮ Stochastic integration with respect to fractional processes in Banach spaces ⋮ Constructing general rough differential equations through flow approximations ⋮ Non-uniqueness for reflected rough differential equations ⋮ Random attractors for dissipative systems with rough noises ⋮ Functional linear regression with truncated signatures ⋮ A remainder estimate for branched rough differential equations ⋮ Random dynamical system generated by the 3D Navier-Stokes equation with rough transport noise ⋮ Lévy area without approximation ⋮ Besov rough path analysis (with an appendix by Pavel Zorin-Kranich) ⋮ Geometric rough paths on infinite dimensional spaces ⋮ Generating diffusions with fractional Brownian motion ⋮ Sweeping processes perturbed by rough signals ⋮ Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions ⋮ A new definition of rough paths on manifolds ⋮ On the two-dimensional singular stochastic viscous nonlinear wave equations ⋮ Langevin dynamic for the 2D Yang-Mills measure ⋮ An energy method for rough partial differential equations ⋮ Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises ⋮ Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion ⋮ Setvalued dynamical systems for stochastic evolution equations driven by fractional noise ⋮ Pullback attractors for stochastic Young differential delay equations ⋮ Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion ⋮ Functional limit theorems for the fractional Ornstein-Uhlenbeck process ⋮ Set-valued functions of bounded generalized variation and set-valued Young integrals ⋮ SHORT TIME FULL ASYMPTOTIC EXPANSION OF HYPOELLIPTIC HEAT KERNEL AT THE CUT LOCUS ⋮ A Dynamical Theory for Singular Stochastic Delay Differential Equations I: Linear Equations and a Multiplicative Ergodic Theorem on Fields of Banach Spaces ⋮ Stability of Deep Neural Networks via Discrete Rough Paths ⋮ Existence of Density for Solutions of Mixed Stochastic Equations ⋮ Interpolation results for pathwise Hamilton-Jacobi equations ⋮ Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions ⋮ On refined volatility smile expansion in the Heston model ⋮ Functional limit theorems for Volterra processes and applications to homogenization* ⋮ Ballistic random walks in random environment as rough paths: convergence and area anomaly ⋮ Exponential stability of stochastic systems: A pathwise approach ⋮ Local zero-stability of rough evolution equations ⋮ Random attractors for setvalued dynamical systems for stochastic evolution equations driven by a nontrivial fractional noise ⋮ Synchronization for KPZ ⋮ Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter ⋮ Compressible Navier--Stokes System with Transport Noise ⋮ Probabilistic global well-posedness for a viscous nonlinear wave equation modeling fluid–structure interaction ⋮ The extension of step-N signatures ⋮ The moving-frame method for the iterated-integrals signature: orthogonal invariants ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Signature-Based Models: Theory and Calibration ⋮ Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel ⋮ Option pricing models without probability: a rough paths approach ⋮ A Fourier analysis based new look at integration ⋮ Numerical Attractors for Rough Differential Equations ⋮ Sandwiched SDEs with unbounded drift driven by Hölder noises ⋮ Optimal extension to Sobolev rough paths ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations ⋮ Rough differential equations with path-dependent coefficients ⋮ Nonlinear Young differential equations: a review ⋮ Approximation bounds for random neural networks and reservoir systems ⋮ Optimal stopping with signatures ⋮ Scaling limit of moderately interacting particle systems with singular interaction and environmental noise ⋮ Adapted topologies and higher rank signatures ⋮ Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES ⋮ Unnamed Item ⋮ Rough paths and SPDE ⋮ Diffusive limits of Lipschitz functionals of Poisson measures ⋮ A partial rough path space for rough volatility ⋮ Non‐geometric rough paths on manifolds ⋮ A combinatorial approach to geometric rough paths and their controlled paths ⋮ Regularisation by fractional noise for one-dimensional differential equations with distributional drift ⋮ Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ Topologies on unparameterised path space ⋮ Model‐free portfolio theory: A rough path approach ⋮ BACKWARD REPRESENTATION OF THE ROUGH INTEGRAL: AN APPROACH BASED ON FRACTIONAL CALCULUS ⋮ Existence and uniqueness for variational data assimilation in continuous time ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ Asymptotic dynamics of Young differential equations ⋮ Deep signature FBSDE algorithm ⋮ Center manifolds for rough partial differential equations ⋮ Three-dimensional magnetohydrodynamics system forced by space-time white noise ⋮ Random attractors for rough stochastic partial differential equations ⋮ Quantitative heat-kernel estimates for diffusions with distributional drift ⋮ Optimal Execution with Rough Path Signatures ⋮ Iterated Integrals and Population Time Series Analysis ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ Regularity Theory for Rough Partial Differential Equations and Parabolic Comparison Revisited ⋮ Solving Rough Differential Equations with the Theory of Regularity Structures ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Path dependent equations driven by Hölder processes ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Support of solutions of stochastic differential equations in exponential Besov–Orlicz spaces ⋮ Density of the signature process of fBm ⋮ Semi-closed form cubature and applications to financial diffusion models ⋮ Asymptotic behavior of the weak approximation to a class of Gaussian processes ⋮ A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion ⋮ Random attractors for stochastic porous media equations perturbed by space-time linear multiplicative noise ⋮ Integrability of (Non-)Linear Rough Differential Equations and Integrals ⋮ Semi-discretization for Stochastic Scalar Conservation Laws with Multiple Rough Fluxes ⋮ Probabilistic methods for semilinear partial differential equations. Applications to finance ⋮ Examples of Itô càdlàg rough paths ⋮ Stochastic Homogenization for Functionals with Anisotropic Rescaling and Noncoercive Hamilton--Jacobi Equations ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Rough path metrics on a Besov–Nikolskii-type scale ⋮ Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients ⋮ The maximum rate of convergence for the approximation of the fractional Lévy area at a single point ⋮ Characterization of nonlinear Besov spaces ⋮ Young-Stieltjes integrals with respect to Volterra covariance functions ⋮ Tail asymptotics of the Brownian signature ⋮ Young Differential Delay Equations Driven by Hölder Continuous Paths ⋮ Asymptotic Stability for Stochastic Dissipative Systems with a Hölder Noise ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence ⋮ Strong Feller property of the magnetohydrodynamics system forced by space–time white noise ⋮ Space of signatures as inverse limits of Carnot groups ⋮ Rough Center Manifolds ⋮ Rough Path Theory to Approximate Random Dynamical Systems ⋮ ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION ⋮ A note on the generation of random dynamical systems from fractional stochastic delay differential equations ⋮ Unified signature cumulants and generalized Magnus expansions ⋮ The support of singular stochastic partial differential equations ⋮ Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes ⋮ Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging ⋮ Anomalous thermodynamics in homogenized generalized Langevin systems ⋮ Variational Principles on Geometric Rough Paths and the Lévy Area Correction ⋮ Nonlinear independent component analysis for discrete-time and continuous-time signals ⋮ A pathwise stochastic Landau-Lifshitz-Gilbert equation with application to large deviations ⋮ Solution sets for Young differential inclusions ⋮ Non-degeneracy of stochastic line integrals ⋮ Convex hulls of curves: volumes and signatures ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ The accessibility problem for geometric rough differential equations ⋮ Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach) ⋮ Convergence of trapezoid rule to rough integrals ⋮ A version of Hörmander's theorem for Markovian rough paths ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition ⋮ Global existence and non-uniqueness of 3D Euler equations perturbed by transport noise ⋮ On the lack of Gaussian tail for rough line integrals along fractional Brownian paths ⋮ The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion ⋮ Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions ⋮ Well-posedness of the Dean-Kawasaki and the nonlinear Dawson-Watanabe equation with correlated noise ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion