Differential structure and flow equations on rough path space

DOI10.1016/J.BULSCI.2011.07.011MaRDI QIDQ645946zbMATH OpenOpenAlexFDO

Authors Zhongmin Qian, Jan Tudor

Publication date 11 November 2011

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

Full work available at URL https://arxiv.org/abs/1102.5619

zbMATH Keywords

Malliavin calculusrough pathstangent spaces

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We introduce a differential structure for the space of weakly geometric p rough paths over a Banach space V for 2<p<3. We begin by considering a certain natural family of smooth rough paths and differentiating in the truncated tensor series. The resulting object has a clear interpretation, even for non-smooth rough paths, which we take to be an element of the tangent space. We can associate it uniquely to an equivalence class of curves, with equivalence defined by our differential structure. Thus, for a functional on rough path space, we can define the derivative in a tangent direction analogous to defining the derivative in a Cameron-Martin direction of a functional on Wiener space. Our tangent space contains many more directions than the Cameron-Martin space and we do not require quasi-invariance of Wiener measure. In addition we also locally (globally) solve the associated flow equation for a class of vector fields satisfying a local (global) Lipshitz type condition.

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• Flow equations on spaces of rough paths
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Cited in

(11)

• Differential Equations Driven byΠ-Rough Paths
• Rough integrators on Banach manifolds
• The geometry of the space of branched rough paths
• Sensitivity of rough differential equations: an approach through the omega lemma
• Flow equations on spaces of rough paths
• Solving mean field rough differential equations
• Regularity of the Itô-Lyons map
• Flows Driven by Banach Space-Valued Rough Paths
• A new definition of rough paths on manifolds
• Planarly branched rough paths and rough differential equations on homogeneous spaces
• Optimal extension to Sobolev rough paths

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