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.     

Differential equations in a Banach space

A systematic survey of the theory of linear evolution equations in Banach spaces, reviewed in the period 1968–1982 in Ref. Zh. Matematika, is presented.Translated from Itogi Nauki i Tekhniki, Seriya Matematicheskii Analiz, Vol. 21, pp. 130–264, 1983.     

Differential and stochastic equations in abstract Wiener space

This paper studies the differential equation $\text{(}\text{?}\text{?t}\text{) u(t, x) =}\text{1}\text{2}\text{trace}\text{A(t, x) D}{}^2\text{u(t, x) A}{}^1\text{(t, x) + 〈σ(t, x), Du(t, x)〉 ? V(x) u(t, x), u(0, x) = φ(x)}$ in infinite dimensional space. A Kac's type representation of solution in terms of function space integral is proved. Kac's method is modified to work nicely regardless of the dimensionality.     

Differential equations on closed subsets of a probabilistic normed space

This paper is concerned with the problem of existence of solutions to the initial value problemu′(t) = A(t,u(t)), u(a) = z in a probabilistic normed space, whereA : [a, b) × D → E is continuous,D is a closed subset of a probabilistic normed spaceE, andz ? D. With a dissipative type condition onA, we estabilish sufficient conditions for this initial value problem to have a solution.     

Differential equations with causal operators in a Banach space

In this paper, differential equations with causal operators in the framework of an arbitrary Banach space are studied. Basic results such as existence, uniqueness and global existence are proved. The theory of cones is employed to investigate the extremal solutions of such equations.     

Non-linear rough heat equations

This article is devoted to define and solve an evolution equation of the form dy _t ?=?Δy _t dt?+ dX _t (y _t ), where Δ stands for the Laplace operator on a space of the form ${L^p(\mathbb R^n)}$ , and X is a finite dimensional noisy nonlinearity whose typical form is given by ${X_t(\varphi)=\sum_{i=1}^N \, x^{i}_t f_i(\varphi)}$ , where each x?=?(x ⁽¹⁾, … , x ^(N)) is a γ-H?lder function generating a rough path and each f _i is a smooth enough function defined on ${L^p(\mathbb R^n)}$ . The generalization of the usual rough path theory allowing to cope with such kind of system is carefully constructed.     

An integration by parts formula on path space over manifolds carrying geometric flow

We establish an integration by parts formula on the path space with reference measure P, the law of the(reflecting) diffusion process on manifolds with possible boundary carrying geometric flow, which leads to the standard log-Sobolev inequality for the associated Dirichlet form. To this end, we first modify Hsu's multiplicative functionals to define the damp gradient operator, which links to quasi-invariant flows; and then establish the derivative formula for the associated inhomogeneous diffusion semigroup.     

One-dimensional reflected rough differential equations

We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. The whole difficulty of the problem (at least as far as uniqueness is concerned) lies in the non-continuity of the Skorohod map with respect to the topologies under consideration in the rough case. Our argument to overcome this obstacle is inspired by some ideas we introduced in a previous work dealing with rough kinetic PDEs arXiv:1604.00437.     

Constructing sublinear expectations on path space

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G$G$-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G$G$-expectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent limitations to constructing sublinear expectations through aggregation.     

Implicit–explicit schemes for nonlinear nonlocal equations with a gradient flow structure in one space dimension

Nonlinear convection–diffusion equations with nonlocal flux and possibly degenerate diffusion arise in various contexts including interacting gases, porous media flows, and collective behavior in biology. Their numerical solution by an explicit finite difference method is costly due to the necessity of discretizing a local spatial convolution for each evaluation of the convective numerical flux, and due to the disadvantageous Courant–Friedrichs–Lewy (CFL) condition incurred by the diffusion term. Based on explicit schemes for such models devised in the study of Carrillo et al. a second‐order implicit–explicit Runge–Kutta (IMEX‐RK) method can be formulated. This method avoids the restrictive time step limitation of explicit schemes since the diffusion term is handled implicitly, but entails the necessity to solve nonlinear algebraic systems in every time step. It is proven that this method is well defined. Numerical experiments illustrate that for fine discretizations it is more efficient in terms of reduction of error versus central processing unit time than the original explicit method. One of the test cases is given by a strongly degenerate parabolic, nonlocal equation modeling aggregation in study of Betancourt et al. This model can be transformed to a local partial differential equation that can be solved numerically easily to generate a reference solution for the IMEX‐RK method, but is limited to one space dimension.     

Differential equations

Book Reviews

Differential equationsC. M. Dafermos, G. Ladas, and G. Papanicolaou (editors): Lecture Notes in Pure and Applied Mathematics 118, Marcel Dekker, New York, Basel, 1989, xiv + 787 pp.     

Euler estimates for rough differential equations

We consider controlled ordinary differential equations and give new estimates for higher order Euler schemes. Our proofs are inspired by recent work of A.M. Davie who considers first and second order schemes. In order to implement the general case we make systematic use of geodesic approximations in the free nilpotent group. Such Euler estimates have powerful applications. By a simple limit argument they apply to rough path differential equations (RDEs) in the sense of T. Lyons and hence also to stochastic differential equations driven by Brownian motion or other random rough paths with sufficient integrability. In the context of the latter, we obtain strong remainder estimates in stochastic Taylor expansions a la Azencott, Ben Arous, Castell and Platen. Although our findings appear novel even in the case of driving Brownian motion our main insight is the genuine rough path nature of (quantitative) remainder estimates in stochastic Taylor expansions. There are several other applications of which we discuss in detail Lq-convergence in Lyons' Universal Limit Theorem and moment control of RDE solutions.     

Low and moderate Reynolds number transient flow simulations using space filtered Navier-Stokes equations

In this study, low and moderate Reynolds number flow problems in the laminar range are solved numerically with grids that do not resolve all the significant scales of motion. Spatial averaging or filtering of the Navier-Stokes equations and Taylor series approximations to the filtered advective terms are used in order to account for the effects of the unresolved or subgrid scales on the resolved scales. Numerical experiments with a transient 2-D lid driven cavity flow problem, using a penalty method Galerkin finite element code, show that this approach enhances the momentum transfer properties of the numerical solution, eliminates 2Δx type oscillations, and enables the use of coarser grids. The significance and order of the terms that describe the interaction between the resolved and the subgrid scales is studied and the success of the series approximations to these terms is demonstrated. © 1994 John Wiley & Sons, Inc.     

Nonstationary generalized Duru-Kleinert transformation of path integrals for systems of differential equations in one-dimensional space

We obtain new formulas for the transformations of Wiener path integrals corresponding to the parabolic systems of two differential equations with time-dependent coefficients in one-dimensional space. These formulas determine the transformation of the path integrals under a rheonomous-homogeneous-pointwise transformation of integration variables and the path reparameterization transformation. These formulas allow us to obtain an integral relation between the Green's functions of related systems of differential equations. We show how to obtain the generalized Shepp formula from this relation for the path integral under consideration. We derive these new formulas using the properties of random processes under phase transitions and a random change in time.Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 109, No. 1, pp. 17–27, October, 1996.     

Finite dimensional characteristic functions of Brownian rough path

The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2: Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is described explicitly by the Brownian motion coupled with its area process. The aim of this article is to compute the finite dimensional characteristic functions of the Brownian rough path in ?^d and obtain an explicit formula for the case when d = 2     

Navier-stokes equations on unbounded domains with rough initial data

We consider the Navier-Stokes equations in unbounded domains Ω ⊆ ℝ ⁿ of uniform C ^1,1-type. We construct mild solutions for initial values in certain extrapolation spaces associated to the Stokes operator on these domains. Here we rely on recent results due to Farwig, Kozono and Sohr, the fact that the Stokes operator has a bounded H ^∞-calculus on such domains, and use a general form of Kato’s method. We also obtain information on the corresponding pressure term.     

Feynman path integrals as analysis on path space by time slicing approximation

Using the time slicing approximation, we give a mathematically rigorous definition of Feynman path integrals for a general class of functionals on the path space. As an application, we prove the interchange with Riemann-Stieltjes integrals, the interchange with a limit, the perturbation expansion formula, the semiclassical approximation, and the fundamental theorem of calculus in Feynman path integral.     

Stochastic analysis, rough path analysis and fractional Brownian motions

 In this paper we show, by using dyadic approximations, the existence of a geometric rough path associated with a fractional Brownian motion with Hurst parameter greater than 1/4. Using the integral representation of fractional Brownian motions, we furthermore obtain a Skohorod integral representation of the geometric rough path we constructed. By the results in [Ly1], a stochastic integration theory may be established for fractional Brownian motions, and strong solutions and a Wong-Zakai type limit theorem for stochastic differential equations driven by fractional Brownian motions can be deduced accordingly. The method can actually be applied to a larger class of Gaussian processes with covariance functions satisfying a simple decay condition. Received: 11 May 2000 / Revised version: 20 March 2001 / Published online: 11 December 2001