Bedhiafi, Mounir; Gaidi, Mohamed Limit theorem for a rough differential equation with a negative long-range random coefficient. (English) Zbl 07923986 J. Dyn. Control Syst. 30, No. 3, Paper No. 32, 14 p. (2024). MSC: 34-XX × Cite Format Result Cite Review PDF Full Text: DOI
Friz, Peter K.; Kifer, Yuri Almost sure diffusion approximation in averaging via rough paths theory. (English) Zbl 07922279 Electron. J. Probab. 29, Paper No. 111, 56 p. (2024). MSC: 34C29 60F15 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
León, Jorge A.; Liu, Yanghui; Tindel, Samy Euler scheme for SDEs driven by fractional Brownian motions: Malliavin differentiability and uniform upper-bound estimates. (English) Zbl 07904809 Stochastic Processes Appl. 175, Article ID 104412, 20 p. (2024). MSC: 60H10 60G22 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Inahama, Yuzuru; Xu, Yong; Yang, Xiaoyu Moderate deviations for rough differential equations. (English) Zbl 07902267 Bull. Lond. Math. Soc. 56, No. 8, 2738-2748 (2024). MSC: 60L20 60F10 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aida, Shigeki Rough differential equations containing path-dependent bounded variation terms. (English) Zbl 07900845 J. Theor. Probab. 37, No. 3, 2130-2183 (2024). MSC: 60L20 60H10 60H20 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Gottwald, Georg A.; Melbourne, Ian Time-reversibility and nonvanishing Lévy area. (English) Zbl 07867521 Nonlinearity 37, No. 7, Article ID 075018, 12 p. (2024). MSC: 60H05 37A50 37D25 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Noboriguchi, Dai Initial-boundary value problem for transport equations driven by rough paths. (English) Zbl 1541.35415 Theory Probab. Math. Stat. 110, 167-183 (2024). MSC: 35Q49 35L04 60H15 35R60 35A01 35A02 × Cite Format Result Cite Review PDF Full Text: DOI
Pathiraja, Sahani \(L^2\) convergence of smooth approximations of stochastic differential equations with unbounded coefficients. (English) Zbl 1535.60104 Stochastic Anal. Appl. 42, No. 2, 354-369 (2024). MSC: 60H10 60H35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fukasawa, Masaaki; Takano, Ryoji A partial rough path space for rough volatility. (English) Zbl 1534.60163 Electron. J. Probab. 29, Paper No. 18, 28 p. (2024). MSC: 60L20 60L90 60H30 60F10 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Harang, Fabian; Tindel, Samy; Wang, Xiaohua Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions. (English) Zbl 07826596 J. Theor. Probab. 37, No. 1, 307-351 (2024). MSC: 60L20 60L10 60H07 60H05 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ohashi, Alberto; Russo, Francesco Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes. (English) Zbl 07824100 Bernoulli 30, No. 2, 1197-1230 (2024). MSC: 60L20 60H05 60G15 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Boedihardjo, H.; Geng, X. On the lack of Gaussian tail for rough line integrals along fractional Brownian paths. (English) Zbl 07819905 Probab. Theory Relat. Fields 188, No. 3-4, 1287-1313 (2024). MSC: 60G22 60H10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Liao, Shujian; Ni, Hao; Sabate-Vidales, Marc; Szpruch, Lukasz; Wiese, Magnus; Xiao, Baoren Sig-Wasserstein GANs for conditional time series generation. (English) Zbl 1533.91511 Math. Finance 34, No. 2, 622-670 (2024). MSC: 91G80 68T05 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Yang, Guang A version of Hörmander’s theorem for Markovian rough paths. (English) Zbl 07798448 Potential Anal. 60, No. 1, 173-195 (2024). MSC: 60H10 60L20 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cass, Thomas; Turner, William F. Topologies on unparameterised path space. (English) Zbl 07796909 J. Funct. Anal. 286, No. 4, Article ID 110261, 28 p. (2024). MSC: 60Hxx 60Lxx 60Gxx 60H05 60L10 60H30 58J65 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Alberti, Giovanni; Stepanov, Eugene; Trevisan, Dario Integration of nonsmooth 2-forms: from Young to Itô and Stratonovich. (English) Zbl 1537.49020 J. Funct. Anal. 286, No. 2, Article ID 110212, 37 p. (2024). Reviewer: Andrej Srakar (Ljubljana) MSC: 49J52 60H07 60H05 60L20 58A10 53C65 49J45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Allan, Andrew L.; Liu, Chong; Prömel, David J. A càdlàg rough path foundation for robust finance. (English) Zbl 1530.91519 Finance Stoch. 28, No. 1, 215-257 (2024). MSC: 91G10 60L20 91G80 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Bugini, Fabio; Friz, Peter K.; Stannat, Wilhelm Parameter dependent rough SDEs with applications to rough PDEs. arXiv:2409.11330 Preprint, arXiv:2409.11330 [math.PR] (2024). MSC: 60H10 60H15 60L20 60L50 × Cite Format Result Cite Full Text: arXiv OA License
Diamantakis, Theo; Hu, Ruiao Variational closures for composite homogenised fluid flows. arXiv:2409.10408 Preprint, arXiv:2409.10408 [math-ph] (2024). MSC: 76-10 37-XX 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Bielert, Franziska Rough Functional Itô Formula. arXiv:2409.02532 Preprint, arXiv:2409.02532 [math.PR] (2024). MSC: 60L20 60H20 41A58 60L10 × Cite Format Result Cite Full Text: arXiv OA License
Allan, Andrew L.; Pieper, Jost Rough Stochastic Analysis with Jumps. arXiv:2408.06978 Preprint, arXiv:2408.06978 [math.PR] (2024). MSC: 60L20 60H10 × Cite Format Result Cite Full Text: arXiv OA License
Friz, Peter; Kern, Hannes; Zorin-Kranich, Pavel Lipschitz estimates in the Besov settings for Young and rough differential equations. arXiv:2407.11142 Preprint, arXiv:2407.11142 [math.PR] (2024). MSC: 60L20 46E35 × Cite Format Result Cite Full Text: arXiv OA License
Hinz, Michael; Tölle, Jonas M.; Viitasaari, Lauri Variability and the existence of rough integrals with irregular coefficients. arXiv:2407.06907 Preprint, arXiv:2407.06907 [math.PR] (2024). MSC: 26B30 46E35 60G15 60G17 60G22 60L20 26A33 31B15 42B20 × Cite Format Result Cite Full Text: arXiv OA License
Čoupek, Petr; Hendrych, František; Slavík, Jakub Differential equations driven by Besov-Orlicz paths. arXiv:2406.02793 Preprint, arXiv:2406.02793 [math.PR] (2024). MSC: 60L20 60H10 60G17 60G22 × Cite Format Result Cite Full Text: arXiv OA License
Bank, P.; Bayer, C.; Hager, P. P.; Riedel, S.; Nauen, T. Stochastic Control with Signatures. arXiv:2406.01585 Preprint, arXiv:2406.01585 [math.OC] (2024). MSC: 93E20 60L10 93E35 60L90 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Li, Siran; Lyu, Zijiu; Ni, Hao; Tao, Jiajie Restricted Path Characteristic Function Determines the Law of Stochastic Processes. arXiv:2404.18661 Preprint, arXiv:2404.18661 [math.PR] (2024). MSC: 60L20 62M99 60G35 62M07 × Cite Format Result Cite Full Text: arXiv OA License
Cass, Thomas; Salvi, Cristopher Lecture notes on rough paths and applications to machine learning. arXiv:2404.06583 Preprint, arXiv:2404.06583 [cs.LG] (2024). MSC: 60L10 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Lemercier, Maud; Lyons, Terry A High Order Solver for Signature Kernels. arXiv:2404.02926 Preprint, arXiv:2404.02926 [cs.LG] (2024). MSC: 60L10 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Kwossek, Anna P.; Neuenkirch, Andreas; Prömel, David J. Functional differential equations driven by càdlàg rough paths. arXiv:2403.17573 Preprint, arXiv:2403.17573 [math.PR] (2024). MSC: 60L20 60H10 × Cite Format Result Cite Full Text: arXiv OA License
Takano, Ryoji Large deviation principle for stochastic differential equations driven by stochastic integrals. arXiv:2403.14321 Preprint, arXiv:2403.14321 [math.PR] (2024). MSC: 60F10 60L20 60L90 60G22 60H30 × Cite Format Result Cite Full Text: arXiv OA License
Aichinger, Florian; Desmettre, Sascha Pricing of geometric Asian options in the Volterra-Heston model. arXiv:2402.15828 Preprint, arXiv:2402.15828 [q-fin.PR] (2024). MSC: 45D05 60B15 60L20 91G20 × Cite Format Result Cite Full Text: arXiv OA License
Bugini, Fabio; Coghi, Michele; Nilssen, Torstein Malliavin Calculus for rough stochastic differential equations. arXiv:2402.12056 Preprint, arXiv:2402.12056 [math.PR] (2024). MSC: 60H07 60H10 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Neamtu, Alexandra; Seitz, Tim Existence and regularity of random attractors for stochastic evolution equations driven by rough noise. arXiv:2401.14235 Preprint, arXiv:2401.14235 [math.PR] (2024). MSC: 60G22 60L20 60L50 37H05 37L55 × Cite Format Result Cite Full Text: arXiv OA License
Hairer, Martin Renormalisation in the presence of variance blowup. arXiv:2401.10868 Preprint, arXiv:2401.10868 [math.PR] (2024). MSC: 60H10 60H15 60L20 60L30 × Cite Format Result Cite Full Text: arXiv OA License
Leahy, James-Michael; Nilssen, Torstein Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions. arXiv:2401.09299 Preprint, arXiv:2401.09299 [math.PR] (2024). MSC: 60G22 60L20 60H10 62F12 62M09 60F15 60G17 × Cite Format Result Cite Full Text: arXiv OA License
Kifer, Yuri Almost Sure Diffusion Approximation in Averaging: Direct Proofs with Rough Paths Flavors. arXiv:2401.05038 Preprint, arXiv:2401.05038 [math.PR] (2024). MSC: 34C29 60F15 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Bellingeri, Carlo (ed.); Bruned, Yvain (ed.); Chevyrev, Ilya (ed.); Preiß, Rosa (ed.) Mini-workshop: Combinatorial and algebraic structures in rough analysis and related fields. Abstracts from the mini-workshop held November 26 – December 2, 2023. (English) Zbl 07921229 Oberwolfach Rep. 20, No. 4, 3063-3102 (2023). MSC: 60-06 05-06 18-06 00B05 00B25 60L10 60L20 60L30 60L70 16T05 16S10 18M60 18G45 18M60 65M12 × Cite Format Result Cite Review PDF Full Text: DOI
Varzaneh, Mazyar Ghani; Riedel, Sebastian Introduction to rough paths theory. (English) Zbl 07856282 Mat. Contemp. 58, 68-149 (2023). MSC: 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bailleul, Ismael; Bellingeri, Carlo; Bruned, Yvain; Fermanian, Adeline; Marie, Nicolas Rough paths and SPDE. (English. French summary) Zbl 1539.60135 ESAIM, Proc. Surv. 74, 169-184 (2023). MSC: 60L20 60H17 60-02 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Allan, Andrew L.; Cuchiero, Christa; Liu, Chong; Prömel, David J. Model-free portfolio theory: a rough path approach. (English) Zbl 1531.91211 Math. Finance 33, No. 3, 709-765 (2023). MSC: 91G10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Catuogno, Pedro; Lima, Lourival; Ruffino, Paulo Geometric aspects of Young integral: decomposition of flows. (English) Zbl 1531.60035 Mediterr. J. Math. 20, No. 6, Paper No. 335, 20 p. (2023). MSC: 60H10 60L90 26A16 34F05 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Coghi, Michele; Nilssen, Torstein; Nüsken, Nikolas; Reich, Sebastian Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering. (English) Zbl 1538.60061 Ann. Appl. Probab. 33, No. 6B, 5693-5752 (2023). MSC: 60G35 60L90 60H35 62M20 60H10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Geng, Xi; Wang, Sheng Non-degeneracy of stochastic line integrals. (English) Zbl 1539.60066 Electron. J. Probab. 28, Paper No. 121, 28 p. (2023). Reviewer: Denis R. Bell (Jacksonville) MSC: 60H07 34F05 60H10 60L20 60L10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Catellier, Rémi; Harang, Fabian A. Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation. (English) Zbl 07788715 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 3, 1572-1609 (2023). MSC: 60H15 60H50 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Yanghui; Selk, Zachary; Tindel, Samy Convergence of trapezoid rule to rough integrals. (English) Zbl 07788710 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 3, 1434-1462 (2023). MSC: 60L20 60G15 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bellingeri, Carlo Quasi-geometric rough paths and rough change of variable formula. (English) Zbl 07788709 Ann. Inst. Henri Poincaré, Probab. Stat. 59, No. 3, 1398-1433 (2023). MSC: 60L20 60L70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Boutaib, Youness The accessibility problem for geometric rough differential equations. (English) Zbl 07785814 J. Dyn. Control Syst. 29, No. 4, 1669-1693 (2023). MSC: 60L20 58J65 58A30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Neamţu, Alexandra; Seitz, Tim Stochastic evolution equations with rough boundary noise. (English) Zbl 1540.60233 SN Partial Differ. Equ. Appl. 4, No. 6, Paper No. 49, 27 p. (2023). MSC: 60L20 60L50 37H05 60H15 37L55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Duc, Luu Hoang; Kloeden, Peter Numerical attractors for rough differential equations. (English) Zbl 1526.65034 SIAM J. Numer. Anal. 61, No. 5, 2381-2407 (2023). MSC: 65L99 60L20 60H10 34F05 37L30 65L20 65P40 × Cite Format Result Cite Review PDF Full Text: DOI
Imkeller, Peter; Perkowski, Nicolas A Fourier analysis based new look at integration. (English) Zbl 1523.60174 Ann. Math. Sil. 37, No. 2, 149-168 (2023). MSC: 60L20 60H05 42A24 46A16 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Liu, Chong; Prömel, David J.; Teichmann, Josef Optimal extension to Sobolev rough paths. (English) Zbl 07749914 Potential Anal. 59, No. 3, 1399-1424 (2023). MSC: 60L20 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Salvi, Cristopher; Diehl, Joscha; Lyons, Terry; Preiss, Rosa; Reizenstein, Jeremy A structure theorem for streamed information. (English) Zbl 1536.17001 J. Algebra 634, 911-938 (2023). MSC: 17A30 17B01 16W10 16S99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Liu, Chong; Prömel, David J.; Teichmann, Josef A Sobolev rough path extension theorem via regularity structures. (English) Zbl 1532.60231 ESAIM, Probab. Stat. 27, 136-155 (2023). Reviewer: Lucio Galeati (Lausanne) MSC: 60L20 60L30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Gussetti, Emanuela; Hocquet, Antoine A pathwise stochastic Landau-Lifshitz-Gilbert equation with application to large deviations. (English) Zbl 07729951 J. Funct. Anal. 285, No. 9, Article ID 110094, 79 p. (2023). Reviewer: Martin Ondreját (Praha) MSC: 60H15 60L50 60L90 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Geng, Xi; Ouyang, Cheng; Tindel, Samy Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case. (English) Zbl 1533.60086 J. Theor. Probab. 36, No. 3, 1341-1367 (2023). MSC: 60H10 60H07 60G22 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Qigui; Lin, Xiaofang; Zeng, Caibin Random attractors for rough stochastic partial differential equations. (English) Zbl 1531.60056 J. Differ. Equations 371, 50-82 (2023). MSC: 60L20 60L10 37L55 37L30 60H15 35R60 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Diamantakis, Theo; Holm, Darryl D.; Pavliotis, Grigorios A. Variational principles on geometric rough paths and the Lévy area correction. (English) Zbl 1515.60181 SIAM J. Appl. Dyn. Syst. 22, No. 2, 1182-1218 (2023). MSC: 60H10 60H30 49S05 70E50 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kuehn, Christian; Neamţu, Alexandra Center manifolds for rough partial differential equations. (English) Zbl 1528.60112 Electron. J. Probab. 28, Paper No. 48, 31 p. (2023). Reviewer: Bixiang Wang (Socorro) MSC: 60L20 35K57 60H15 60G22 60L50 37L55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Ananova, Anna Rough differential equations with path-dependent coefficients. (Équations différentielles rugueuses avec coefficients dépendant du chemin.) (English. French summary) Zbl 1533.60191 Ann. Henri Lebesgue 6, 1-29 (2023). MSC: 60L20 60H05 60H10 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Bayer, Christian; Hager, Paul P.; Riedel, Sebastian; Schoenmakers, John Optimal stopping with signatures. (English) Zbl 1537.60050 Ann. Appl. Probab. 33, No. 1, 238-273 (2023). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60L10 60L20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
He, Yuchen On the convergence rate of the splitting-up scheme for rough partial differential equations. (English) Zbl 1538.60111 Comput. Math. Appl. 139, 1-6 (2023). MSC: 60H15 65C30 60H35 35R60 60H10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Galeati, Lucio Nonlinear Young differential equations: a review. (English) Zbl 1531.60055 J. Dyn. Differ. Equations 35, No. 2, 985-1046 (2023). Reviewer: Miguel Martinez (Marne-la-Vallée) MSC: 60L20 60L50 34A08 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Cass, Thomas R.; Pei, Jeffrey A Fubini type theorem for rough integration. (English) Zbl 1535.60155 Rev. Mat. Iberoam. 39, No. 2, 761-802 (2023). MSC: 60L20 60L10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Friz, Peter K.; Zorin-Kranich, Pavel Rough semimartingales and \(p\)-variation estimates for martingale transforms. (English) Zbl 1532.60230 Ann. Probab. 51, No. 2, 397-441 (2023). MSC: 60L20 60G44 60G46 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Harang, Fabian A.; Tindel, Samy; Wang, Xiaohua Volterra equations driven by rough signals. II: Higher-order expansions. (English) Zbl 1511.45001 Stoch. Dyn. 23, No. 1, Article ID 2350002, 50 p. (2023). Reviewer: Denis Sidorov (Irkutsk) MSC: 45D05 45G05 45H05 45R05 91G30 60H20 60L20 60L30 60L70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayer, Christian; Friz, Peter K.; Tapia, Nikolas Stability of deep neural networks via discrete rough paths. (English) Zbl 1508.60101 SIAM J. Math. Data Sci. 5, No. 1, 50-76 (2023). MSC: 60L90 68T07 39A30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pei, Bin; Inahama, Yuzuru; Xu, Yong Corrigendum to: “Averaging principle for fast-slow system driven by mixed fractional Brownian rough path”. (English) Zbl 1523.60066 J. Differ. Equations 355, 437-440 (2023). MSC: 60G22 60L20 60H10 34C29 × Cite Format Result Cite Review PDF Full Text: DOI
Bechtold, Florian; Hofmanová, Martina Weak solutions for singular multiplicative SDEs via regularization by noise. (English) Zbl 1515.60176 Stochastic Processes Appl. 157, 413-435 (2023). MSC: 60H10 60G22 60H50 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bruned, Yvain; Katsetsiadis, Foivos Ramification of Volterra-type rough paths. (English) Zbl 1515.60336 Electron. J. Probab. 28, Paper No. 7, 25 p. (2023). Reviewer: Lucio Galeati (Lausanne) MSC: 60L20 60L30 60L70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Huang, Chuying; Wang, Xu Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises. (English) Zbl 1502.65006 Stat. Probab. Lett. 194, Article ID 109742, 10 p. (2023). MSC: 65C30 60H35 60G22 60H07 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Matsuda, Toyomu; Mayorcas, Avi Pathwise Uniqueness for Multiplicative Young and Rough Differential Equations Driven by Fractional Brownian Motion. arXiv:2312.06473 Preprint, arXiv:2312.06473 [math.PR] (2023). MSC: 60H10 60G22 60L20 60H50 × Cite Format Result Cite Full Text: arXiv OA License
Bellingeri, Carlo; Ferrucci, Emilio; Tapia, Nikolas Branched Itô formula and natural Itô-Stratonovich isomorphism. arXiv:2312.04523 Preprint, arXiv:2312.04523 [math.PR] (2023). MSC: 60L20 60L70 16T30 05E99 × Cite Format Result Cite Full Text: arXiv OA License
Bayer, Christian; Pelizzari, Luca; Schoenmakers, John Primal and dual optimal stopping with signatures. arXiv:2312.03444 Preprint, arXiv:2312.03444 [q-fin.MF] (2023). MSC: 60L10 60L20 91G20 91G60 × Cite Format Result Cite Full Text: arXiv OA License
Gassiat, Paul; Klose, Tom Gaussian Rough Paths Lifts via Complementary Young Regularity. arXiv:2311.04312 Preprint, arXiv:2311.04312 [math.PR] (2023). MSC: 60G15 60L20 42A32 × Cite Format Result Cite Full Text: arXiv OA License
Kern, Hannes; Lyons, Terry Flow techniques for non-geometric RDEs on manifolds. arXiv:2310.13556 Preprint, arXiv:2310.13556 [math.PR] (2023). MSC: 60L20 16T05 × Cite Format Result Cite Full Text: arXiv OA License
Allan, Andrew L.; Kwossek, Anna P.; Liu, Chong; Prömel, David J. Pathwise convergence of the Euler scheme for rough and stochastic differential equations. arXiv:2309.16489 Preprint, arXiv:2309.16489 [math.PR] (2023). MSC: 65C30 65L20 60H35 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Kremp, Helena; Perkowski, Nicolas Rough weak solutions for singular Lévy SDEs. arXiv:2309.15460 Preprint, arXiv:2309.15460 [math.PR] (2023). MSC: 60H10 60G51 60L20 60L40 60K37 × Cite Format Result Cite Full Text: arXiv OA License
Guseynov, Yevgeniy Deterministic Integral and Ordinary Differential Equations over Irregular Paths. arXiv:2309.06316 Preprint, arXiv:2309.06316 [math.CA] (2023). MSC: 60L20 28C20 45G15 × Cite Format Result Cite Full Text: arXiv OA License
Inahama, Yuzuru; Xu, Yong; Yang, Xiaoyu Moderate deviations for rough differential equations. arXiv:2308.01591 Preprint, arXiv:2308.01591 [math.PR] (2023). MSC: 60L20 60F10 60G22 × Cite Format Result Cite Full Text: arXiv OA License
Linares, Pablo Insertion pre-Lie products and translation of rough paths based on multi-indices. arXiv:2307.06769 Preprint, arXiv:2307.06769 [math.PR] (2023). MSC: 60L20 60L70 16T05 × Cite Format Result Cite Full Text: arXiv OA License
Redmann, Martin; Riedel, Sebastian Exact dimension reduction for rough differential equations. arXiv:2306.17579 Preprint, arXiv:2306.17579 [math.NA] (2023). MSC: 60H10 60L20 60L50 65C30 93A15 × Cite Format Result Cite Full Text: arXiv OA License
Takahashi, Akihiko; Yamada, Toshihiro New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion. arXiv:2306.13405 Preprint, arXiv:2306.13405 [math.PR] (2023). MSC: 60G22 60H07 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Li, Siran; Ni, Hao; Zhu, Qianyu Small mass limit of expected signature for physical Brownian motion. arXiv:2305.00343 Preprint, arXiv:2305.00343 [math.PR] (2023). MSC: 60L20 35R45 × Cite Format Result Cite Full Text: arXiv OA License
Cellarosi, Francesco; Selk, Zachary Rough Paths above Weierstrass Functions. arXiv:2304.11646 Preprint, arXiv:2304.11646 [math.DS] (2023). MSC: 60L20 26A16 26A27 26A30 26B15 × Cite Format Result Cite Full Text: arXiv OA License
Horvath, Blanka; Lemercier, Maud; Liu, Chong; Lyons, Terry; Salvi, Cristopher Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach. arXiv:2304.01479 Preprint, arXiv:2304.01479 [math.PR] (2023). MSC: 60L10 60L20 60G40 91G60 × Cite Format Result Cite Full Text: arXiv OA License
Aida, Shigeki; Naganuma, Nobuaki An interpolation of discrete rough differential equations and its applications to analysis of error distributions. arXiv:2302.03912 Preprint, arXiv:2302.03912 [math.PR] (2023). MSC: 60F05 60G15 60G22 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Liang, Jiahao; Tang, Shanjian Multidimensional Backward Stochastic Differential Equations with Rough Drifts. arXiv:2301.12434 Preprint, arXiv:2301.12434 [math.PR] (2023). MSC: 60L20 60H10 60L50 × Cite Format Result Cite Full Text: arXiv OA License
Yang, Danyu Taylor estimate for differential equations driven by \(\Pi \)-rough paths. arXiv:2301.07930 Preprint, arXiv:2301.07930 [math.CA] (2023). MSC: 60L20 × Cite Format Result Cite Full Text: arXiv OA License
Brigo, D. Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility. (English) Zbl 07907632 Gershon, David (ed.) et al., Options – 45 years since the publication of the Black-Scholes-Merton model. The Gershon Fintech Center conference. Singapore: World Scientific. World Sci. Lect. Notes Finance 6, 47-61 (2022). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cass, Thomas; Driver, Bruce K.; Litterer, Christian; Rossi Ferrucci, Emilio A combinatorial approach to geometric rough paths and their controlled paths. (English) Zbl 1528.60111 J. Lond. Math. Soc., II. Ser. 106, No. 2, 936-981 (2022). MSC: 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Armstrong, John; Brigo, Damiano; Cass, Thomas; Rossi Ferrucci, Emilio Non-geometric rough paths on manifolds. (English) Zbl 1528.60110 J. Lond. Math. Soc., II. Ser. 106, No. 2, 756-817 (2022). Reviewer: Martin Ondreját (Praha) MSC: 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Backlinks: MO
Ma, Hongyan; Gao, Hongjun Unstable manifolds for rough evolution equations. (English) Zbl 1514.37072 Stoch. Dyn. 22, No. 8, Article ID 2240033, 33 p. (2022). MSC: 37H30 37D10 60L20 60L50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
El Atik, Abd El Fattah A.; Wahba, Ashgan Some betweenness relation topologies induced by simplicial complexes. (English) Zbl 1513.54005 Hacet. J. Math. Stat. 51, No. 4, 981-994 (2022). MSC: 54A05 54F05 06A06 60L20 92C50 × Cite Format Result Cite Review PDF Full Text: DOI
Boutaib, Youness; Lyons, Terry A new definition of rough paths on manifolds. (English. French summary) Zbl 1512.60069 Ann. Fac. Sci. Toulouse, Math. (6) 31, No. 4, 1223-1258 (2022). Reviewer: Alexandra Rodkina (College Station) MSC: 60L20 58J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kunick, Florian A first order description of a nonlinear SPDE in the spirit of rough paths. (English) Zbl 1501.60033 J. Evol. Equ. 22, No. 4, Paper No. 85, 17 p. (2022). MSC: 60H15 60H40 60L20 35K10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Bellingeri, Carlo; Friz, Peter K.; Gerencsér, Máté Singular paths spaces and applications. (English) Zbl 1510.81090 Stochastic Anal. Appl. 40, No. 6, 1126-1149 (2022). MSC: 81S40 60E05 26A16 26A30 30C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Hairer, Martin; Li, Xue-Mei Generating diffusions with fractional Brownian motion. (English) Zbl 1510.60028 Commun. Math. Phys. 396, No. 1, 91-141 (2022). MSC: 60G22 60H10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Grong, Erlend; Nilssen, Torstein; Schmeding, Alexander Geometric rough paths on infinite dimensional spaces. (English) Zbl 1522.60078 J. Differ. Equations 340, 151-178 (2022). MSC: 60L20 60L50 60H10 53C17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Friz, Peter K.; Seeger, Benjamin [Zorin-Kranich, Pavel] Besov rough path analysis (with an appendix by Pavel Zorin-Kranich). (English) Zbl 1507.60144 J. Differ. Equations 339, 152-231 (2022). MSC: 60L20 34A34 46E35 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Yang, Danyu A remainder estimate for branched rough differential equations. (English) Zbl 1510.60092 Electron. Commun. Probab. 27, 1-12 (2022). MSC: 60L20 60L70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv