Multidimensional stochastic processes as rough paths. Theory and applications.
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Publication:3407274
DOI10.1017/CBO9780511845079zbMATH Open1193.60053OpenAlexW617501864MaRDI QIDQ3407274FDOQ3407274
Authors: Peter Friz, Nicolas Victoir 
Publication date: 4 March 2010
Full work available at URL: https://doi.org/10.1017/cbo9780511845079
Recommendations
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Geometric foundations of rough paths
- scientific article; zbMATH DE number 2050982
- Rough path theory and stochastic calculus
- A course on rough paths. With an introduction to regularity structures
Malliavin calculusstochastic processeslarge deviationsBrownian motionstochastic differential equationsrough path theorystochastic flowsrough differential equationssupport theoremsgeometric rough paths
Large deviations (60F10) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic integrals (60H05)
Cited In (only showing first 100 items - show all)
- Rough nonlocal diffusions
- Porous media equations with nonlinear gradient noise and Dirichlet boundary conditions
- Strong Feller property of the magnetohydrodynamics system forced by space-time white noise
- Probabilistic global well-posedness for a viscous nonlinear wave equation modeling fluid-structure interaction
- 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
- Optimal execution with rough path signatures
- Young-Stieltjes integrals with respect to Volterra covariance functions
- Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
- Young differential delay equations driven by Hölder continuous paths
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Pullback attractors for stochastic Young differential delay equations
- Setvalued dynamical systems for stochastic evolution equations driven by fractional noise
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- A quasi-sure non-degeneracy property for the Brownian rough path
- Lyapunov spectrum of nonautonomous linear Young differential equations
- Invariance for rough differential equations
- Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
- A priori bounds for rough differential equations with a non-linear damping term
- The support of singular stochastic partial differential equations
- Solving mean field rough differential equations
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
- Stochastic analysis with modelled distributions
- Weighted Lépingle inequality
- On the support of solutions to stochastic differential equations with path-dependent coefficients
- Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
- Stochastic control with rough paths
- Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
- Non‐geometric rough paths on manifolds
- Pathwise stochastic control with applications to robust filtering
- An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields
- Path dependent equations driven by Hölder processes
- Rough invariance principle for delayed regenerative processes
- One-dimensional game-theoretic differential equations
- Lévy area without approximation
- Rough center manifolds
- The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
- Area anomaly in the rough path Brownian scaling limit of hidden Markov walks
- Stochastic integration with respect to fractional processes in Banach spaces
- Density of the signature process of fBm
- A combinatorial approach to geometric rough paths and their controlled paths
- Asymptotic stability for stochastic dissipative Systems with a Hölder noise
- Iterated integrals and population time series analysis
- Rough integration via fractional calculus
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- Constructing general rough differential equations through flow approximations
- Non-uniqueness for reflected rough differential equations
- Random attractors for dissipative systems with rough noises
- A remainder estimate for branched rough differential equations
- Random dynamical system generated by the 3D Navier-Stokes equation with rough transport noise
- Geometric foundations of rough paths
- Examples of Itô Càdlàg rough paths
- Global solutions and random dynamical systems for rough evolution equations
- Penalisation techniques for one-dimensional reflected rough differential equations
- Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
- Geometric rough paths on infinite dimensional spaces
- An isomorphism between branched and geometric rough paths
- Functional limit theorems for the fractional Ornstein-Uhlenbeck process
- Lipschitz-stability of controlled rough paths and rough differential equations
- Discrete rough paths and limit theorems
- Sweeping processes perturbed by rough signals
- Geometric versus non-geometric rough paths
- Solving the KPZ equation
- 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
- Smooth approximation of stochastic differential equations
- Integrability of (Non-)Linear Rough Differential Equations and Integrals
- Invariants of multidimensional time series based on their iterated-integral signature
- Uniqueness of signature for simple curves
- Non-linear rough heat equations
- A theory of regularity structures
- \(\varepsilon\)-strong simulation for multidimensional stochastic differential equations via rough path analysis
- On the splitting-up method for rough (partial) differential equations
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- Integrability and tail estimates for Gaussian rough differential equations
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- Robust filtering: correlated noise and multidimensional observation
- The uniqueness of signature problem in the non-Markov setting
- A course on rough paths. With an introduction to regularity structures
- Smoothness of the density for solutions to Gaussian rough differential equations
- Functional linear regression with truncated signatures
- Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
- Unbounded rough drivers
- Averaging along irregular curves and regularisation of ODEs
- Fractal dimensions of rough differential equations driven by fractional Brownian motions
- On probability laws of solutions to differential systems driven by a fractional Brownian motion
- Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
- Rough paths and 1d SDE with a time dependent distributional drift: application to polymers
- Duality on gradient estimates and Wasserstein controls
- Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
- Pathwise solutions of SPDEs driven by Hölder-continuous integrators with exponent larger than \(1/2\) and random dynamical systems
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Semi-closed form cubature and applications to financial diffusion models
- Integrability of solutions to mixed stochastic differential equations
- Stochastic scalar conservation laws driven by rough paths
- The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
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