Multidimensional stochastic processes as rough paths. Theory and applications.
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Publication:3407274
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)
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
Cited in
(only showing first 100 items - show all)- Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
- Elementary Pathwise Methods for Nonlinear Parabolic and Transport Type Stochastic Partial Differential Equations with Fractal Noise
- Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma
- Heat trace asymptotics on equiregular sub-Riemannian manifolds
- Signature-Based Models: Theory and Calibration
- Geometric versus non-geometric rough paths
- Rough nonlocal diffusions
- scientific article; zbMATH DE number 2050982 (Why is no real title available?)
- On the rough-paths approach to non-commutative stochastic calculus
- Porous media equations with nonlinear gradient noise and Dirichlet boundary conditions
- Superdiffusive limits for deterministic fast-slow dynamical systems
- Diffusive limits of Lipschitz functionals of Poisson measures
- A partial rough path space for rough volatility
- Good rough path sequences and applications to anticipating stochastic calculus
- Small ball probabilities, metric entropy and Gaussian rough paths
- Sensitivities \textit{via} rough paths
- Moderate deviation principle for multiscale systems driven by fractional Brownian motion
- Properties of set-valued Young integrals and Young differential inclusions generated by sets of Hölder functions
- Holonomy of the planar Brownian motion in a Poisson punctured plane
- Strong Feller property of the magnetohydrodynamics system forced by space-time white noise
- Solving the KPZ equation
- Perturbed linear rough differential equations
- Probabilistic global well-posedness for a viscous nonlinear wave equation modeling fluid-structure interaction
- On the existence of SLE trace: finite energy drivers and non-constant \(\kappa \)
- Ballistic random walks in random environment as rough paths: convergence and area anomaly
- Computation of p-variation
- 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
- Constrained rough paths
- Smooth approximation of stochastic differential equations
- 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
- Reflected rough differential equations
- A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
- Time-warping invariants of multidimensional time series
- Embedding and learning with signatures
- Non-explosion criteria for rough differential equations driven by unbounded vector fields
- On a set-valued Young integral with applications to differential inclusions
- Stochastic flows and rough differential equations on foliated spaces
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
- Convergence of multi-dimensional quantized SDEs
- Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
- 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 the adjoint of the Eulerian idempotent in an analytic context
- Invariants of multidimensional time series based on their iterated-integral signature
- Regularisation by fractional noise for one-dimensional differential equations with distributional drift
- Signatures, Lipschitz-Free Spaces, and Paths of Persistence Diagrams
- Functional central limit theorems for rough volatility
- Integrability of (Non-)Linear Rough Differential Equations and Integrals
- Optimal execution with rough path signatures
- Uniqueness of signature for simple curves
- Existence and uniqueness for variational data assimilation in continuous time
- Càdlàg rough differential equations with reflecting barriers
- Young-Stieltjes integrals with respect to Volterra covariance functions
- Nonlinear independent component analysis for discrete-time and continuous-time signals
- Non-linear rough heat equations
- 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
- A theory of regularity structures
- Lévy area for Gaussian processes: a double Wiener-Itô integral approach
- Donsker's theorem in Wasserstein-1 distance
- Local mild solutions for rough stochastic partial differential equations
- Yet another introduction to rough paths
- Hölder-continuous rough paths by Fourier normal ordering
- Nonparametric estimation in fractional SDE
- Quasi-sure non-self-intersection for rough differential equations driven by fractional Brownian motion
- \(\varepsilon\)-strong simulation for multidimensional stochastic differential equations via rough path analysis
- A note on the applications of Wick products and Feynman diagrams in the study of singular partial differential equations
- A note on the generation of random dynamical systems from fractional stochastic delay differential equations
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
- Rough path metrics on a Besov-Nikolskii-type scale
- On A priori estimates for rough PDEs
- On the splitting-up method for rough (partial) differential equations
- Stochastic areas, winding numbers and Hopf fibrations
- On Sobolev rough paths
- Propagation of chaos for mean field rough differential equations
- A new theorem on the existence of the Riemann-Stieltjes integral and an improved version of the Loéve-Young inequality
- Topologies on unparameterised path space
- Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
- Young differential delay equations driven by Hölder continuous paths
- The extension of step-N signatures
- Solution sets for Young differential inclusions
- Small time asymptotics on the diagonal for Hörmander's type hypoelliptic operators
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
- Nonautonomous Young differential equations revisited
- Integrability and tail estimates for Gaussian rough differential equations
- Robust filtering: correlated noise and multidimensional observation
- Rough semimartingales and \(p\)-variation estimates for martingale transforms
- A course on rough paths. With an introduction to regularity structures
- Nonparametric estimation for i.i.d. paths of fractional SDE
- A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
- Rough differential equations with power type nonlinearities
- Density bounds for solutions to differential equations driven by Gaussian rough paths
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- The uniqueness of signature problem in the non-Markov setting
- Pullback attractors for stochastic Young differential delay equations
- Setvalued dynamical systems for stochastic evolution equations driven by fractional noise
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