A Fubini type theorem for rough integration (Q6100306)

Summary: Jointly controlled paths as used in Hairer and Gerasimovičs (2019), are a class of two-parameter paths \(Y\) controlled by a \(p\)-rough path \(X\) for \(2 \leq p < 3\) in each time variable, and serve as a class of paths twice integrable with respect to \(X\). We extend the notion of jointly controlled paths to two-parameter paths \(Y\) controlled by \(p\)-rough and \(\tilde{p}\)-rough paths \(X\) and \(\tilde{X}\) (on finite dimensional spaces) for arbitrary \(p\) and \(\tilde{p}\), and develop the corresponding integration theory for this class of paths. In particular, we show that for paths \(Y\) jointly controlled by \(X\) and \(\tilde{X}\), they are integrable with respect to \(X\) and \(\tilde{X}\), and moreover we prove a rough Fubini type theorem for the double rough integrals of \(Y\) via the construction of a third integral analogous to the integral against the product measure in the classical Fubini theorem. Additionally, we also prove a stability result for the double integrals of jointly controlled paths, and show that signature kernels, which have seen increasing use in data science applications, are jointly controlled paths.