On the integration of weakly geometric rough paths

DOI10.2969/JMSJ/06841505MaRDI QIDQ502094zbMATH OpenOpenAlexFDO

Authors Thomas Cass, Bruce K. Driver, Nengli Lim, Christian Litterer

Publication date 30 December 2016

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2969/jmsj/06841505

zbMATH Keywords

infinite-dimensional analysisrough integrationweakly geometric rough paths

Mathematics Subject Classification ID

Analysis on other specific Lie groups (43A80) Measures, integration, derivative, holomorphy (all involving infinite-dimensional spaces) (46G99) Tensor products in functional analysis (46M05) Stochastic integrals (60H05)

Review text

The aim of this article is to close a gap in the theory of integration for weakly geometric rough paths, in the infinite-dimensional setting. Consider a real Banach space \(E\), the truncated tensor algebra \(T^nE:=\bigotimes_{k=0}^n E^{\otimes k}\), made into a Banach algebra and a Lie algebra in a canonical way, its closed Lie sub-algebra \(T_0^nE\) of tensors with null constant component, and the Lie sub-algebra \(\mathrm{Lie}_nE\) generated by \(E\) within \(T_0^nE\). Then the free nilpotent group of step \(n\) is defined as the closure \(G^nE\) of \(\exp(\mathrm{Lie}_nE)\) in \(T^nE\), and a rough path \(X\equiv 1+\sum_{j=1}^nX^j:\{(s,t)\mid 0\leq s\leq t\leq T\}\to G^nE\) (instead of merely \(T^nE\)) is called weakly geometric. Then to any sufficiently regular (roughly, of class \(C_b^{n+\varepsilon}\)) one-form \(\alpha\), an integral \(\int \alpha(dX)\) is associated, and the authors prove that it is again a weakly geometric rough path.

Recommendations

• An algebraic approach to integration of geometric rough paths
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Cited in

(9)

• Rough integrators on Banach manifolds
• An algebraic approach to integration of geometric rough paths
• On the definition of a solution to a rough differential equation
• Geometric rough paths on infinite dimensional spaces
• The signature of a rough path: uniqueness
• Towards geometric integration of rough differential forms
• Non‐geometric rough paths on manifolds
• A combinatorial approach to geometric rough paths and their controlled paths
• Variational Principles on Geometric Rough Paths and the Lévy Area Correction

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