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Differential Equations Driven by Rough Paths · Study

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ChapterDifferential Equations Driven by Rough Paths

Michael Caruana2007

Chapter2007

Differential Equations Driven by Rough Paths

Michael Caruana

237 citations·0/0 files stored·Springer eBooks

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

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References

1998Differential equations driven by rough signals 1998Integration with respect to fractal functions and stochastic calculus. I 2002Stochastic analysis, rough path analysis and fractional Brownian motions 2003Realized power variation and stochastic volatility models

Cited by

2006UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP 2014Smoothness of the density for solutions to Gaussian rough differential equations 2016The signature of a rough path: Uniqueness 2010A (rough) pathwise approach to a class of non-linear stochastic partial differential equations 2013Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths 2018A stochastic sewing lemma and applications 2008Rough path analysis via fractional calculus 2015Rough paths and 1d SDE with a time dependent distributional drift: application to polymers

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Year2007

Typechapter

Published2007-04-24

VenueSpringer eBooks

Languageen

Citations237

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71285-5_5

openalex_workW616109306

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