Multidimensional stochastic processes as rough paths. Theory and applications.
From MaRDI portal
(Redirected from Publication:3407274)
Brownian motiongeometric rough pathslarge deviationsMalliavin calculusrough differential equationsrough path theorystochastic differential equationsstochastic flowsstochastic processessupport theorems
Applications of functional analysis in probability theory and statistics (46N30) Large deviations (60F10) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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)- Extensions of the sewing lemma with applications
- Nonautonomous Young differential equations revisited
- 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
- A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
- Multidimensional SDEs with singular drift and universal construction of the polymer measure with white noise potential
- Mutual intersection for rough differential systems driven by fractional Brownian motions
- A support and density theorem for Markovian rough paths
- Stochastic areas, winding numbers and Hopf fibrations
- Sensitivity of rough differential equations: an approach through the omega lemma
- Differential equations driven by rough paths with jumps
- Computation of p-variation
- 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
- On (signed) Takagi-Landsberg functions: pth variation, maximum, and modulus of continuity
- First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case
- A priori estimates for rough PDEs with application to rough conservation laws
- Well-posedness of nonlinear diffusion equations with nonlinear, conservative noise
- Asymptotical stability of differential equations driven by Hölder continuous paths
- Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
- Renormalisation of parabolic stochastic PDEs
- A stability result for stochastic differential equations driven by fractional Brownian motions
- 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
- Time reversal of Volterra processes driven stochastic differential equations
- Hölder parameterization of iterated function systems and a self-affine phenomenon
- On Sobolev rough paths
- Duality for pathwise superhedging in continuous time
- Rough differential equations with power type nonlinearities
- 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
- Additive functionals as rough paths
- 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
- 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 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
- 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
This page was built for publication: Multidimensional stochastic processes as rough paths. Theory and applications.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3407274)
