Rough Path Theory to Approximate Random Dynamical Systems
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Publication:5004531
DOI10.1137/20M1325022zbMath1475.60102arXiv2002.10425MaRDI QIDQ5004531
Kening Lu, Anhui Gu, María J. Garrido-Atienza, Hong-Jun Gao, Björn Schmalfuss
Publication date: 2 August 2021
Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.10425
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) General theory of random and stochastic dynamical systems (37H05) Rough paths (60L20)
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How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Random dynamics and limiting behaviors for 3D globally modified Navier–Stokes equations driven by colored noise ⋮ Effective filtering for slow-fast systems via Wong-Zakai approximation ⋮ Random attractors for rough stochastic partial differential equations ⋮ Wong-Zakai type approximations of rough random dynamical systems by smooth noise
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