A variation embedding theorem and applications

DOI10.1016/J.JFA.2005.12.021MaRDI QIDQ860769zbMATH OpenOpenAlexFDO

Authors Nicolas Victoir, Peter Friz

Publication date 9 January 2007

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0511520

zbMATH Keywords

\(q\)-variation embeddingBesov spacesfractional SobolevRegularity of Cameron-Martin pathsregularity of Ito-maprough path

Mathematics Subject Classification ID

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Applications of functional analysis in probability theory and statistics (46N30) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Fractional Sobolev spaces, also known as Besov or Slobodetzki spaces, arise in many areas of analysis, stochastic analysis in particular. We prove an embedding into certain q-variation spaces and discuss a few applications. First we show q-variation regularity of Cameron-Martin paths associated to fractional Brownian motion and other Volterra processes. This is useful, for instance, to establish large deviations for enhanced fractional Brownian motion. Second, the q-variation embedding, combined with results of rough path theory, provides a different route to a regularity result for stochastic differential equations by Kusuoka. Third, the embedding theorem works in a non-commutative setting and can be used to establish Hoelder/variation regularity of rough paths.

Review text

From the authors' abstract: Fractional Sobolev spaces (Slobodetski spaces) arise in many areas of analysis, stochastic analysis, in particular. We prove an embedding into certain \(q\)-variation spaces. Applications include a new route to the regularity result by Kusuoka for stochastic differential equations, integration against Besov-paths, a regularity criterion for rough paths and a new regularity result for Cameron-Martin paths associated to fractional Brownian motion.

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Cited in

(38)

• Differential equations driven by rough paths with jumps
• Smoothness of densities for area-like processes of fractional Brownian motion
• Laplace approximation for rough differential equation driven by fractional Brownian motion
• On Sobolev rough paths
• Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case
• Sobolev regularity of occupation measures and paths, variability and compositions
• Deterministic homogenization under optimal moment assumptions for fast-slow systems. II
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Precise asymptotics: robust stochastic volatility models
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• scientific article; zbMATH DE number 3882624 (Why is no real title available?)
• Malliavin calculus for regularity structures: the case of gPAM
• Integrability and tail estimates for Gaussian rough differential equations
• Rough path theory and stochastic calculus
• ON THE REGULARITY OF SLE TRACE
• Rough path metrics on a Besov-Nikolskii-type scale
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• Densities for rough differential equations under Hörmander's condition
• Differential equations driven by Gaussian signals

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