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)
- 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
- A pathwise stochastic Landau-Lifshitz-Gilbert equation with application to large deviations
- Pathwise stochastic integrals for model free finance
- Ergodicity of a generalized Jacobi equation and applications
- Parameter estimation for rough differential equations
- Convergence rates for the full Brownian rough paths with applications to limit theorems for stochastic flows
- Monotonic homotopy for trajectories of Young systems
- Probabilistic aspects of finance
- Rough Volterra equations. II: Convolutional generalized integrals
- \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Stochastic calculus with respect to Gaussian processes
- A construction of the rough path above fractional Brownian motion using Volterra's representation
- A uniform estimate for rough paths
- Rough differential equations driven by signals in Besov spaces
- Title not available (Why is that?)
- 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
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