On Sobolev rough paths

DOI10.1016/J.JMAA.2020.124876MaRDI QIDQ1996162zbMATH OpenOpenAlexFDO

Authors Chong Liu, David J. Prömel, Josef Teichmann

Publication date 3 March 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.03322

zbMATH Keywords

Itô-Lyons maprough differential equationrough pathSobolev space

Mathematics Subject Classification ID

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Rough paths (60L20)

Abstract: We introduce the space of rough paths with Sobolev regularity and the corresponding concept of controlled Sobolev paths. Based on these notions, we study rough path integration and rough differential equations. As main result, we prove that the solution map associated to differential equations driven by rough paths is a locally Lipschitz continuous map on the Sobolev rough path space for any arbitrary low regularity $alpha$ and integrability $p$ provided $alpha>1/p$.

Review text

The authors consider spaces of rough paths with Sobolev regularity and associated controlled rough differential equations. First they define the space of Sobolev rough paths using a fractional Sobolev norm. Typical estimates used for rough paths work for \(p\)-variation or related seminorms, but not for the fractional Sobolev norm presenting the main obstacle. In a suitable topology, the authors introduce the controlled rough paths of Sobolev type requiring a remainder term in the mixed Hölder-variation space. Then they show that solutions to the controlled rough differential equations driven by Sobolev rough paths also possess Sobolev regularity. Finally the authors prove local Lipschitz continuity of the Itô-Lyons map on the space of Sobolev rough paths with arbitrary low regularity with respect to the initial value, vector field and the driving signal.

Recommendations

• On rough differential equations
• Lipschitz-stability of controlled rough paths and rough differential equations
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• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young

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Cited in

(20)

• On rough differential equations
• Sensitivity of rough differential equations: an approach through the omega lemma
• Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
• Sobolev regularity of occupation measures and paths, variability and compositions
• Smooth rough paths, their geometry and algebraic renormalization
• Solving mean field rough differential equations
• Planarly branched rough paths and rough differential equations on homogeneous spaces
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• On (p,q)-rough paths
• Ramification of Volterra-type rough paths
• Rough path metrics on a Besov-Nikolskii-type scale
• Characterization of nonlinear Besov spaces
• Optimal extension to Sobolev rough paths
• A Sobolev rough path extension theorem via regularity structures
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• On Young regimes for locally monotone SPDEs
• Young differential equations driven by Besov-Orlicz paths
• Variability and the existence of rough integrals with irregular coefficients
• Regularity of the Itô-Lyons map

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