Solving linear parabolic rough partial differential equations

We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path $\mathbf{W}$ of H\"older regularity $\alpha$ with $1/3 < \alpha \le 1/2$. Based on a stochastic representation of the solution of the rough partial differential equation, we propose a regression Monte Carlo algorithm for spatio-temporal approximation of the solution. We provide a full convergence analysis of the proposed approximation method which essentially relies on the new bounds for the higher order derivatives of the solution in space. Finally, a comprehensive simulation study showing the applicability of the proposed algorithm is presented

On the splitting-up method for rough (partial) differential equations

This article introduces the splitting method to systems responding to rough paths as external stimuli. The focus is on nonlinear partial differential equations with rough noise but we also cover rough differential equations. Applications to stochastic partial differential equations arising in control theory and nonlinear filtering are given

An energy method for rough partial differential equations

Hocquet A, Hofmanová M. An energy method for rough partial differential equations. JOURNAL OF DIFFERENTIAL EQUATIONS. 2018;265(4):1407-1466.We present a well-posedness and stability result for a class of nondegenerate linear parabolic equations driven by geometric rough paths. More precisely, we introduce a notion of weak solution that satisfies an intrinsic formulation of the equation in a suitable Sobolev space of negative order. Weak solutions are then shown to satisfy the corresponding energy estimates which are deduced directly from the equation. Existence is obtained by showing compactness of a suitable sequence of approximate solutions whereas uniqueness relies on a doubling of variables argument and a careful analysis of the passage to the diagonal. Our result is optimal in the sense that the assumptions on the deterministic part of the equation as well as the initial condition are the same as in the classical PDEs theory. (C) 2018 Elsevier Inc. All rights reserved