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)
- On the rough-paths approach to non-commutative stochastic calculus
- Superdiffusive limits for deterministic fast-slow dynamical systems
- Sensitivities \textit{via} rough paths
- Ballistic random walks in random environment as rough paths: convergence and area anomaly
- Small ball probabilities, metric entropy and Gaussian rough paths
- Computation of \(p\)-variation
- Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
- Stochastic flows and rough differential equations on foliated spaces
- A note on the generation of random dynamical systems from fractional stochastic delay differential equations
- Donsker's theorem in Wasserstein-1 distance
- Rough path metrics on a Besov-Nikolskii-type scale
- Rough semimartingales and \(p\)-variation estimates for martingale transforms
- A course on rough paths. With an introduction to regularity structures
- On Sobolev rough paths
- Nonautonomous Young differential equations revisited
- Rough differential equations with power type nonlinearities
- Regularity of SLE in \((t,\kappa)\) and refined GRR estimates
- Semi-discretization for stochastic scalar conservation laws with multiple rough fluxes
- Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
- Generating diffusions with fractional Brownian motion
- Stochastic Homogenization for Functionals with Anisotropic Rescaling and Noncoercive Hamilton--Jacobi Equations
- Young differential equations with power type nonlinearities
- On a maximal inequality and its application to SDEs with singular drift
- Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs
- Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
- The enhanced Sanov theorem and propagation of chaos
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Asymptotical stability of differential equations driven by Hölder continuous paths
- Integration of controlled rough paths via fractional calculus
- A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
- An optimal polynomial approximation of Brownian motion
- Stein's method for diffusive limits of queueing processes
- A stability result for stochastic differential equations driven by fractional Brownian motions
- Central limit theorems for non-symmetric random walks on nilpotent covering graphs. II
- Additive functionals as rough paths
- Mutual intersection for rough differential systems driven by fractional Brownian motions
- One-dimensional reflected rough differential equations
- Smooth rough paths, their geometry and algebraic renormalization
- Deterministic homogenization under optimal moment assumptions for fast-slow systems. II
- Anomalous thermodynamics in homogenized generalized Langevin systems
- Space of signatures as inverse limits of Carnot groups
- Random walks and Lévy processes as rough paths
- Integrals along rough paths via fractional calculus
- Brownian motion on stationary random manifolds
- A support and density theorem for Markovian rough paths
- Smoothness of densities for area-like processes of fractional Brownian motion
- Duality for pathwise superhedging in continuous time
- Continuity in \(\kappa\) in \(\mathrm{SLE}_\kappa\) theory using a constructive method and rough path theory
- Approximation bounds for random neural networks and reservoir systems
- Characterization of nonlinear Besov spaces
- Sensitivity of rough differential equations: an approach through the omega lemma
- Time reversal of Volterra processes driven stochastic differential equations
- Differential equations driven by rough paths with jumps
- Functional limit theorems for Volterra processes and applications to homogenization
- Canonical RDEs and general semimartingales as rough paths
- Hölder parameterization of iterated function systems and a self-affine phenomenon
- Large Deviation Principle for Bridges of Sub-Riemannian Diffusion Processes
- Rough path theory and stochastic calculus
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Good rough path sequences and applications to anticipating stochastic calculus
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
- Perturbed linear rough differential equations
- Convergence of multi-dimensional quantized SDEs
- Reflected rough differential equations
- Yet another introduction to rough paths
- Support theorem for a singular SPDE: the case of gPAM
- Multidimensional SDEs with singular drift and universal construction of the polymer measure with white noise potential
- Lévy area for Gaussian processes: a double Wiener-Itô integral approach
- Hölder-continuous rough paths by Fourier normal ordering
- Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
- Propagation of chaos for mean field rough differential equations
- Density bounds for solutions to differential equations driven by Gaussian rough paths
- Asymptotic dynamics of Young differential equations
- A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
- Random attractors for rough stochastic partial differential equations
- A Stratonovich-Skorohod integral formula for Gaussian rough paths
- Integration with respect to the non-commutative fractional Brownian motion
- The partial sum process of orthogonal expansions as geometric rough process with Fourier series as an example -- an improvement of Menshov-Rademacher theorem
- A note on the notion of geometric rough paths
- The rough path associated to the multidimensional analytic fBm with any Hurst parameter
- Physical Brownian motion in a magnetic field as a rough path
- Numerical schemes for rough parabolic equations
- A moment estimate of the derivative process in rough path theory
- Skorohod and Stratonovich integrals for controlled processes
- Optimal rate of convergence for stochastic Burgers-type equations
- Rough paths \textit{via} sewing lemma
- On the Navier-Stokes equation perturbed by rough transport noise
- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- A renormalized rough path over fractional Brownian motion
- On refined volatility smile expansion in the Heston model
- Asymptotics for Rough Stochastic Volatility Models
- Weak approximation of a fractional SDE
- Center manifolds for rough partial differential equations
- The rough Veronese variety
- On a Chen-Fliess approximation for diffusion functionals
- From constructive field theory to fractional stochastic calculus. I: An introduction: Rough path theory and perturbative heuristics
- Transport and continuity equations with (very) rough noise
- Cubature on Wiener space: pathwise convergence
- Exponential stability of stochastic systems: A pathwise approach
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