A uniform estimate for rough paths

DOI10.1016/J.BULSCI.2013.04.004MaRDI QIDQ390507zbMATH OpenOpenAlexFDO

Authors Terence J. Lyons, Weijun Xu

Publication date 8 January 2014

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.5278

zbMATH Keywords

rough pathsuniform estimate

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We prove an extension to the classical continuity theorem in rough paths. We show that two $p$-rough paths are close in all levels of iterated integrals provided the first $lflpfl$ terms are close in a uniform sense. Applications include estimation of the difference of the signatures of two uniformly close paths and convergence rates of Gaussian rough paths.

Review text

The authors prove that for two rough paths all levels of their iterated integrals are close in a uniform sense if the first \(\lfloor p \rfloor\) levels are close. This explicit estimate is dimension-free and involves the \(p\)-variation of the rough paths and the uniform distance between the first \(\lfloor p \rfloor\) terms. The presented result is a weakening of a well known analogous result in which the \(p\)-variation instead of the uniform distance is used. As an example, the authors apply their result to the estimation of the difference of solutions to two rough linear differential equations.

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Cites work

• Differential equations driven by rough signals
• Fractional order Taylor's series and the neo-classical inequality
• scientific article; zbMATH DE number 1971703 (Why is no real title available?)
• Multidimensional stochastic processes as rough paths. Theory and applications.

Cited in

(5)

• Smooth rough paths and the applications
• A simple proof of distance bounds for Gaussian rough paths
• Perturbed linear rough differential equations
• Dimension-free Euler estimates of rough differential equations
• Uniform factorial decay estimates for controlled differential equations

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