most citedRough differential equations with path-dependent coefficients

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math.PR2026

A pathwise Ito formula for weakly differentiable functions

Anna Ananova, Rama Cont

We prove a version of Föllmer's pathwise Itô formula for weakly differentiable functions of continuous paths with finite quadratic variation along a sequence of partitions. For eac…

math.PR2020★ 1 cited

Rough differential equations with path-dependent coefficients

Anna Ananova

We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated…