A support and density theorem for Markovian rough paths

DOI10.1214/18-EJP184zbMATH Open1430.60092arXiv1701.03002OpenAlexW2578243862MaRDI QIDQ1663878FDOQ1663878

Authors: Ilya Chevyrev, Marcel Ogrodnik 

Publication date: 24 August 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We establish two results concerning a class of geometric rough paths $mathbfX$ which arise as Markov processes associated to uniformly subelliptic Dirichlet forms. The first is a support theorem for $mathbfX$ in $alpha$-H"older rough path topology for all $alphain(0,1/2)$, which answers in the positive a conjecture of Friz-Victoir (2010). The second is a H"ormander-type theorem for the existence of a density of a rough differential equation driven by $mathbfX$, the proof of which is based on analysis of (non-symmetric) Dirichlet forms on manifolds.

Full work available at URL: https://arxiv.org/abs/1701.03002

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zbMATH Keywords

Markovian rough pathsHörmander's theoremsupport in Hölder topology

Mathematics Subject Classification ID

Sample path properties (60G17) Rough paths (60L20)

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Cited In (3)

• A version of Hörmander's theorem for Markovian rough paths
• Random walks and Lévy processes as rough paths
• On uniformly subelliptic operators and stochastic area

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