From constructive field theory to fractional stochastic calculus. II: Constructive proof of convergence for the Lévy area of fractional Brownian motion with Hurst index \(\alpha \in \left(\frac{1}{8},\frac{1}{4}\right)\) (Q664318)

This is the second part of a work on fractional Brownian motion of arbitrary dimension \(d\) and Hurst index less than \(\frac{1}{4}\). For Part I see [ibid. 12, No. 6, 1199--1226 (2011; Zbl 1231.81058)]. Both parts use methods of quantum field theory and its language to handle problems with iterated integrals related to the stochastic calculus. It poses new challenging mathematical problems. The main problem here is that the paths of the process are rough, have a singular structure, though they are Hölder continuous. Still, the low Hölder index makes it very difficult to properly define stochastic integration within this theory, in particular when one studies iterated integrals. The authors also rely on their previously developed algebraic methods and so their analysis requires very sophisticated tools and an interdisciplinary approach. Important here is that the authors replace iterated integrals by so-called \textit{skeleton integrals} and adopt the concept of \textit{normal ordering} from constructive field theory. The main aim of this paper is to show that rigorous mathematical methods known for a long time in quantum field theory may also successfully be implemented in stochastic rough path models. In detail the paper is organized as follows. Section 1 defines multiscale Gaussian fields such as fractional Brownian motion and quotes many relevant definitions and results from previously published articles. Section 2 outlines the general cluster expansion, in particular the Brydges-Kennedy-Abdesselam-Rivasseau decoupling expansion. In Section 3 details of renormalization are discussed. Section 4 defines a specific field model, while in Section 5 his \(n\)-point functions, the so-called Lévy area, are proven to be finite. Gaussian bounds provide general tools. There are 59 quoted published articles related to the subject of this paper.