3 Modelling 5 3.1 Basic model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 3.1.1 Stochastic π-calculus implementation . . . . . . . . . . . . 5 3.1.2 Model parameters and discussion . . . . . . . . . . . . . . 8 3.1.3 Simulation results . . . . . . . . . . . . . . . . . . . . . . 10 3.2 Flytrap model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.2.1 Stochastic ...

Motivated by a problematic coming from mathematical finance, the paper deals with existing and additional results on the continuity and the differentiability of the Itô map associated to rough differential equations. These regularity results together with the Malliavin calculus are applied to the sensitivities analysis of stochastic differential equations driven by multidimensional Gaussian pro...