A variation embedding theorem and applications
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Besov spacesrough path\(q\)-variation embeddingfractional SobolevRegularity of Cameron-Martin pathsregularity of Ito-map
Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Sample path properties (60G17) Stochastic integrals (60H05)
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.
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Cited in
(34)- Densities for rough differential equations under Hörmander's condition
- New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
- Precise Laplace approximation for mixed rough differential equation
- Malliavin calculus and rough paths
- Singular paths spaces and applications
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- Characterization of nonlinear Besov spaces
- Stein's method for rough paths
- Rough path metrics on a Besov-Nikolskii-type scale
- Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
- Differential equations driven by Gaussian signals
- Deterministic homogenization under optimal moment assumptions for fast-slow systems. II
- ON THE REGULARITY OF SLE TRACE
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- scientific article; zbMATH DE number 3882624 (Why is no real title available?)
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- On Sobolev rough paths
- Optimal extension to Sobolev rough paths
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