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Partial differential equations driven by rough paths · Study

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ArticlePartial differential equations driven by rough paths

Michael Caruana2009

OA

Articlebronze2009

Partial differential equations driven by rough paths

Michael Caruana · Peter K. Friz

56 citations·0/0 files stored·Journal of Differential Equations

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Differential Equations and Boundary Problems

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References

1983Stochastic Differential Equations and Diffusion Processes 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1998Stochastic Flows and Stochastic Differential Equations 1998Differential equations driven by rough signals 2010Multidimensional Stochastic Processes as Rough Paths 1980Stochastic partial differential equations and filtering of diffusion processes 2002System Control and Rough Paths 2007Differential Equations Driven by Rough Paths

Cited by

2019A priori estimates for rough PDEs with application to rough conservation laws 2012Backward stochastic differential equations with rough drivers 2011Malliavin Calculus for Fractional Delay Equations 2017Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac

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2010A (rough) pathwise approach to a class of non-linear stochastic partial differential equationsarticle · 8 shared references 2009Rough path limits of the Wong–Zakai type with a modified drift termarticle · 8 shared references 2014Evolving communities with individual preferencesarticle · 8 shared references 2011Rough Burgers-like equations with multiplicative noisearticle · 7 shared references 2017Random dynamical systems, rough paths and rough flowsarticle · 7 shared references 2013Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough pathsarticle · 6 shared references

Details

Year2009

Typearticle

Published2009-02-24

VenueJournal of Differential Equations

ISSN-L0022-0396

Languageen

Citations56

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jde.2009.01.026

openalex_workW2963597273

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