Integrability of (Non-)Linear Rough Differential Equations and Integrals
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Publication:4916960
DOI10.1080/07362994.2013.759758zbMath1274.60173arXiv1104.0577OpenAlexW2044872509MaRDI QIDQ4916960
Peter K. Friz, Sebastian Riedel
Publication date: 26 April 2013
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.0577
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Related Items (20)
The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory ⋮ Fractal dimensions of rough differential equations driven by fractional Brownian motions ⋮ On probability laws of solutions to differential systems driven by a fractional Brownian motion ⋮ Rough differential equations with unbounded drift term ⋮ On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions ⋮ Integrability and tail estimates for Gaussian rough differential equations ⋮ A gradient estimate for the heat semi-group without hypoellipticity assumptions ⋮ Density bounds for solutions to differential equations driven by Gaussian rough paths ⋮ Solving linear parabolic rough partial differential equations ⋮ Sensitivity of rough differential equations: an approach through the omega lemma ⋮ A converse to the neo-classical inequality with an application to the Mittag-Leffler function ⋮ Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac ⋮ Non-explosion criteria for rough differential equations driven by unbounded vector fields ⋮ A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations ⋮ A Stratonovich-Skorohod integral formula for Gaussian rough paths ⋮ Hörmander's theorem for semilinear SPDEs ⋮ Existence, uniqueness and stability of semi-linear rough partial differential equations ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) ⋮ Rough stochastic PDEs
Cites Work
- Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
- Integrability and tail estimates for Gaussian rough differential equations
- Densities for rough differential equations under Hörmander's condition
- Differential equations driven by Gaussian signals
- Rough path limits of the Wong-Zakai type with a modified drift term
- Differential equations driven by rough signals
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- A stochastic Taylor-like expansion in the rough path theory
- Large deviations and support theorem for diffusion processes via rough paths.
- A version of Hörmander's theorem for the fractional Brownian motion
- A generalized Fernique theorem and applications
- Multidimensional Stochastic Processes as Rough Paths
- Non-degeneracy of Wiener functionals arising from rough differential equations
- System Control and Rough Paths
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