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math.NA2023
(Empirical) Gramian-based dimension reduction for stochastic differential equations driven by fractional Brownian motion
Nahid Jamshidi, Martin Redmann
In this paper, we investigate large-scale linear systems driven by a fractional Brownian motion (fBm) with Hurst parameter . We interpret these equations either in t…
math.NA2023
Exact dimension reduction for rough differential equations
Martin Redmann, Sebastian Riedel
In this paper, practically computable low-order approximations of potentially high-dimensional differential equations driven by geometric rough paths are proposed and investigated.…