Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
From MaRDI portal
Publication:3532862
DOI10.1093/amrx/abm009zbMath1163.34005arXiv0710.0772OpenAlexW2005714749MaRDI QIDQ3532862
Publication date: 29 October 2008
Published in: Applied Mathematics Research eXpress (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.0772
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Ordinary differential equations and systems with randomness (34F05)
Related Items
Stability of Deep Neural Networks via Discrete Rough Paths ⋮ Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case ⋮ Controlling rough paths ⋮ Global Solutions to Rough Differential Equations with Unbounded Vector Fields ⋮ Approximation of stationary solutions to SDEs driven by multiplicative fractional noise ⋮ On the pathwise approximation of stochastic differential equations ⋮ Smooth rough paths, their geometry and algebraic renormalization ⋮ Constrained rough paths ⋮ Lipschitz-stability of controlled rough paths and rough differential equations ⋮ Solution properties of the incompressible Euler system with rough path advection ⋮ Deterministic homogenization for fast-slow systems with chaotic noise ⋮ Flows Driven by Banach Space-Valued Rough Paths ⋮ Weighted Lépingle inequality ⋮ A priori bounds for rough differential equations with a non-linear damping term ⋮ The Inverse Problem for Rough Controlled Differential Equations ⋮ Variational principles for fluid dynamics on rough paths ⋮ Homogenisation for anisotropic kinetic random motions ⋮ Perturbed linear rough differential equations ⋮ Numerical Attractors for Rough Differential Equations ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ Rough differential equations with path-dependent coefficients ⋮ Nonlinear Young differential equations: a review ⋮ Rough paths and SPDE ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ Variational Principles on Geometric Rough Paths and the Lévy Area Correction ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ The non-linear sewing lemma III: stability and generic properties ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ The accessibility problem for geometric rough differential equations ⋮ Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach) ⋮ Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation ⋮ Well‐posedness of stochastic heat equation with distributional drift and skew stochastic heat equation ⋮ Planarly branched rough paths and rough differential equations on homogeneous spaces ⋮ Rough differential equations driven by signals in Besov spaces ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ Area anomaly in the rough path Brownian scaling limit of hidden Markov walks ⋮ Numerical schemes for rough parabolic equations ⋮ Differential equations driven by rough paths with jumps ⋮ Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac ⋮ Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions ⋮ Convergence rates for the full Gaussian rough paths ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ Solving Rough Differential Equations with the Theory of Regularity Structures ⋮ Non-explosion criteria for rough differential equations driven by unbounded vector fields ⋮ Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces ⋮ A theory of regularity structures ⋮ An Itô formula for rough partial differential equations and some applications ⋮ Rough path theory and stochastic calculus ⋮ Rough integrators on Banach manifolds ⋮ Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise ⋮ Reflected rough differential equations ⋮ 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 ⋮ Euler estimates for rough differential equations ⋮ Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions ⋮ On a rough perturbation of the Navier-Stokes system and its vorticity formulation ⋮ A new inequality for the Riemann-Stieltjes integrals driven by irregular signals in Banach spaces ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ Continuous-time trading and the emergence of probability ⋮ Geometric versus non-geometric rough paths ⋮ Discretizing the fractional Lévy area ⋮ Controlled differential equations as Young integrals: a simple approach ⋮ One-dimensional reflected rough differential equations ⋮ Milstein's type schemes for fractional SDEs ⋮ On nonlinear rough paths ⋮ Pathwise stochastic integrals for model free finance ⋮ The maximum rate of convergence for the approximation of the fractional Lévy area at a single point ⋮ Young and rough differential inclusions ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ The non-linear sewing lemma. II. Lipschitz continuous formulation ⋮ Path developments and tail asymptotics of signature for pure rough paths ⋮ On the definition of a solution to a rough differential equation ⋮ The non-linear sewing lemma I: weak formulation ⋮ Yet another introduction to rough paths ⋮ Constructing general rough differential equations through flow approximations ⋮ ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations ⋮ Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion ⋮ Rough Center Manifolds ⋮ An energy method for rough partial differential equations ⋮ A generalized change of variable formula for the Young integral ⋮ Rough path recursions and diffusion approximations
