Random walks and Lévy processes as rough paths

DOI10.1007/s00440-017-0781-1zbMath1436.60087arXiv1510.09066OpenAlexW3102171950WikidataQ59614607 ScholiaQ59614607MaRDI QIDQ2413248

Ilya Chevyrev

Publication date: 10 April 2018

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.09066

zbMATH Keywords

Lévy processesrandom walksstochastic flowsrough pathshomogeneous groupscharacteristic functions of signaturestightness of \(p\)-variation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Rough paths (60L20) Rough partial differential equations (60L50)

Related Items (11)

Deterministic homogenization under optimal moment assumptions for fast-slow systems. II ⋮ A support and density theorem for Markovian rough paths ⋮ Homogenisation for anisotropic kinetic random motions ⋮ Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I ⋮ Area anomaly in the rough path Brownian scaling limit of hidden Markov walks ⋮ Superdiffusive limits for deterministic fast-slow dynamical systems ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ Examples of Itô càdlàg rough paths ⋮ Rough invariance principle for delayed regenerative processes ⋮ An isomorphism between branched and geometric rough paths ⋮ A rough path perspective on renormalization

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