Cover Image

Controlled fields, rough stochastic calculus, and Itô-Wentzell-Alekseev-Gröbner identities

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Dause, Jannis R., Friz, Peter K., Jentzen, Arnulf, Song, Jian
Format:	Preprint
Published:	2026
Subjects:	Probability 60H05 (Primary) 60L20, 60H10, 60H07, 60J60, 65C30, 65C20 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Splitting methods for stochastic Hodgkin-Huxley type systems and a localized fundamental mean-square convergence theorem
by: Étoré, Pierre, et al.
Published: (2026)

Analysis of an exponential integrator for stochastic PDEs driven by Riesz noise
by: Bréhier, Charles-Edouard, et al.
Published: (2026)

Weak convergence rates for temporal numerical approximations of stochastic wave equations with multiplicative noise
by: Cox, Sonja, et al.
Published: (2019)

Strong solution of stochastic differential equations with discontinuous and unbounded coefficients
by: Hu, Yaozhong, et al.
Published: (2023)

Non-asymptotic uniform in time error bounds for new and old numerical schemes for SPDEs
by: Huang, Can, et al.
Published: (2026)

Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations
by: Becker, Sebastian, et al.
Published: (2017)

First- and Half-order Schemes for Regime Switching Stochastic Differential Equation with Non-differentiable Drift Coefficient
by: Vashistha, Divyanshu, et al.
Published: (2025)

A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
by: Lanconelli, Alberto, et al.
Published: (2024)

Pathwise convergence of the Euler scheme for rough and stochastic differential equations
by: Allan, Andrew L., et al.
Published: (2023)

Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
by: Leobacher, Gunther, et al.
Published: (2020)

Uniform in time convergence of numerical schemes for stochastic differential equations via Strong Exponential stability: Euler methods, Split-Step and Tamed Schemes
by: Angeli, Letizia, et al.
Published: (2023)

A Poisson-Alekseev-Gröbner formula through Malliavin calculus for Poisson random integrals
by: Maurer, Paul, et al.
Published: (2025)

On explosion time in stochastic differential equations driven by fractional Brownian motion
by: Garzon, Johanna, et al.
Published: (2024)

On the Itô-Alekseev-Gröbner formula for stochastic differential equations
by: Hudde, Anselm, et al.
Published: (2018)

Stochastic conformal integrators for linearly damped stochastic Poisson systems
by: Bréhier, Charles-Edouard, et al.
Published: (2025)

Reaching the equilibrium: Long-term stable approximations for stochastic non-Newtonian Stokes equations with transport noise
by: Droniou, Jerome, et al.
Published: (2024)

Malliavin Calculus for rough stochastic differential equations
by: Bugini, Fabio, et al.
Published: (2024)

Long-time behavior of exact and numerical solutions of stochastic evolution equations on the sphere
by: Cohen, David, et al.
Published: (2026)

Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications
by: Lechiheb, Atef
Published: (2025)

An Effective Particle Gradient Projection Method for Solving Stochastic and Mean Field Control Problem
by: Sun, Hui
Published: (2026)

Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle
by: Sun, Hui, et al.
Published: (2025)

A Tail-Respecting Explicit Numerical Scheme for Lévy-Driven SDEs With Superlinear Drifts
by: Aryasova, Olga, et al.
Published: (2025)

Strong order-one convergence of the Euler method for random ordinary differential equations driven by semi-martingale noises
by: Kloeden, Peter E., et al.
Published: (2023)

Quantifying a convergence theorem of Gyöngy and Krylov
by: Dareiotis, Konstantinos, et al.
Published: (2021)

Convergence rate for random walk approximations of mean field BSDEs
by: Djehiche, Boualem, et al.
Published: (2024)

Drift-Randomized Milstein-Galerkin Finite Element Method for Semilinear Stochastic Evolution Equations
by: Qi, Xiao, et al.
Published: (2026)

Randomised Euler-Maruyama Method for SDEs with Hölder Continuous Drift Coefficient Driven by $α$-stable Lévy Process
by: Bao, Jianhai, et al.
Published: (2025)

Strong uniform Wong--Zakai approximations of Lévy-driven Marcus SDEs
by: Pavlyukevich, Ilya, et al.
Published: (2025)

On McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models
by: Kalinin, Alexander, et al.
Published: (2026)

Constructing Maximal Germ Couplings of Brownian Motions with Drift
by: Hummel, Sebastian, et al.
Published: (2023)

An Euler scheme for BSDEs via the Wiener chaos decomposition
by: Lozano, Pere Díaz, et al.
Published: (2025)

Strong convergence of the Euler scheme for singular kinetic SDEs driven by $α$-stable processes
by: Ling, Chengcheng
Published: (2024)

Stochastic numerical approximation for nonlinear Fokker-Planck equations with singular kernels
by: Cazacu, Nicoleta
Published: (2025)

On the geometric Brownian motion with state-dependent variable exponent diffusion term
by: Avci, Mustafa
Published: (2025)

Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion
by: Avci, Mustafa
Published: (2025)

Reflected generalized BDSDEs driven by non-homogeneous Lévy processes and obstacle problems for stochastic integro-PDEs with nonlinear Neumann boundary conditions
by: Elmansouri, Badr, et al.
Published: (2025)

Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
by: Ahmadi, Ayub, et al.
Published: (2025)

Strong convergence of a fully discrete scheme for stochastic Burgers equation with fractional-type noise
by: Wang, Yibo, et al.
Published: (2024)

Regularisation by Gaussian rough path lifts of fractional Brownian motions
by: Dareiotis, Konstantinos, et al.
Published: (2024)

A probabilistic interpretation of a non-conservative and path-dependent nonlinear reaction-advection-diffusion system
by: Morale, Daniela, et al.
Published: (2024)