Controlling rough paths

We formulate indefinite integration with respect to an irregular function as an algebraic problem which has a unique solution under some analytic constraints. This allows us to define a good notion of integral with respect to irregular paths with Hölder exponent greater than 1/3 (e.g. samples of Brownian motion) and study the problem of the existence, uniqueness and continuity of solution of differential equations driven by such paths. We recover Young's theory of integration and the main results of Lyons’ theory of rough paths in Hölder topology.     

Ramification of rough paths

The stack of iterated integrals of a path is embedded in a larger algebraic structure where iterated integrals are indexed by decorated rooted trees and where an extended Chen's multiplicative property involves the Dürr-Connes-Kreimer coproduct on rooted trees. This turns out to be the natural setting for a non-geometric theory of rough paths.     

A uniform estimate for the ELLAM scheme for transport equations

We prove a priori error estimate in a weighted energy norm for the Eulerian‐Lagrangian localized adjoint method (ELLAM) for the transport equations, without any special refinement or numerical stabilization introduced. The estimate holds uniformly with respect to ?. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2008     

Malliavin calculus and rough paths

The purpose of this note is to give a unified and streamlined presentation of Gaussian rough path theory (Coutin–Qian, Friz–Victoir) and its interactions with Malliavin calculus and Hörmander theory. The main result of [T. Cass, P. Friz, Densities for RDEs under Hörmander?s condition, Ann. of Math. (2) 171 (3) (2010) 2115–2141] is explained and we conclude with an outlook on open problems.     

An extension theorem to rough paths

We show that any continuous path of finite p-variation can be lifted to a geometric q  -rough path, where q>p$q>p$.     

A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

In this paper we study the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, we obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with some additional mild assumptions on the distributions of the claim sizes and inter-arrival times, we further prove that this formula holds uniformly for all time horizons. In this way, we significantly extend a recent result of Tang [Tang, Q., 2007. Heavy tails of discounted aggregate claims in the continuous-time renewal model. J. Appl. Probab. 44 (2), 285–294].     

A uniform estimate for scalar curvature equation on manifolds of dimension 4

We consider the solutions to the prescribed scalar curvature equation on a four-dimensional Riemannian manifold M. We prove an upper bound for the supremum of all the solutions on every compact subset K of M, provided that all the solutions on M are bounded from below by a positive number.     

Eigenvalue estimate for the rough Laplacian on differential forms

In this article, we study the spectrum of the rough Laplacian acting on differential forms on a compact Riemannian manifold (M, g). We first construct on M metrics of volume 1 whose spectrum is as large as desired. Then, provided that the Ricci curvature of g is bounded below, we relate the spectrum of the rough Laplacian on 1-forms to the spectrum of the Laplacian on functions, and derive some upper bound in agreement with the asymptotic Weyl law.     

Partial differential equations driven by rough paths

We study a class of linear first and second order partial differential equations driven by weak geometric p-rough paths, and prove the existence of a unique solution for these equations. This solution depends continuously on the driving rough path. This allows a robust approach to stochastic partial differential equations. In particular, we may replace Brownian motion by more general Gaussian and Markovian noise. Support theorems and large deviation statements all become easy corollaries of the corresponding statements of the driving process. In the case of first order equations with Gaussian noise, we discuss the existence of a density with respect to the Lebesgue measure for the solution.     

On uniform estimate in Calabi-Yau theorem

We show that the uniform estimate in the Calabi-Yau theorem easily follows from the local stability of the complex Monge-Ampere equation.     

On a uniform estimate for the quaternionic Calabi problem

We establish a C ⁰ a priori bound on the solutions of the quaternionic Calabi-Yau equation (of Monge-Ampère type) on compact HKT manifolds with a locally flat hypercomplex structure. As an intermediate step, we prove a quaternionic version of the Gauduchon theorem.     

On uniform estimate in Calabi-Yau theorem

We show that the uniform estimate in the Calabi-Yau theorem easily follows from the local stability of the complex Monge-Ampère equation.     

On uniform estimate in Calabi-Yau theorem

We show that the uniform estimate in the Calabi-Yau theorem easily follows from the local stability of the complex Monge-Ampère equation.

     

Large deviations and support theorem for diffusion processes via rough paths

We use the continuity theorem of Lyons for rough paths in the p-variation topology to produce an elementary approach to the large deviation principle and the support theorem for diffusion processes. The proofs reduce to establish the corresponding results for Brownian motion itself as a rough path in the p-variation topology, 2<p<3, and the technical step is to handle the Lévy area in this respect. Some extensions and applications are discussed.     

Differential equations driven by rough paths with jumps

We develop the rough path counterpart of Itô stochastic integration and differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô/forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.     

A uniform estimate for the MMOC for two‐dimensional advection‐diffusion equations

We prove an optimal‐order error estimate in a weighted energy norm for the modified method of characteristics (MMOC) and the modified method of characteristics with adjusted advection (MMOCAA) for two‐dimensional time‐dependent advection‐diffusion equations, in the sense that the generic constants in the estimates depend on certain Sobolev norms of the true solution but not on the scaling diffusion parameter ε. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

Decay rate of iterated integrals of branched rough paths

Iterated integrals of paths arise frequently in the study of the Taylor's expansion for controlled differential equations. We will prove a factorial decay estimate, conjectured by M. Gubinelli, for the iterated integrals of non-geometric rough paths. We will explain, with a counter example, why the conventional approach of using the neoclassical inequality fails. Our proof involves a concavity estimate for sums over rooted trees and a non-trivial extension of T. Lyons' proof in 1994 for the factorial decay of iterated Young's integrals.