An isomorphism between branched and geometric rough paths
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Publication:2320397
DOI10.1214/18-AIHP912zbMATH Open1426.60065arXiv1712.01965OpenAlexW3105419426MaRDI QIDQ2320397FDOQ2320397
Authors: Horatio Boedihardjo, Ilya Chevyrev 
Publication date: 22 August 2019
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We exhibit an explicit natural isomorphism between spaces of branched and geometric rough paths. This provides a multi-level generalisation of the isomorphism of Lejay-Victoir (2006) as well as a canonical version of the It^o-Stratonovich correction formula of Hairer-Kelly (2015). Our construction is elementary and uses the property that the Grossman-Larson algebra is isomorphic to a tensor algebra. We apply this isomorphism to study signatures of branched rough paths. Namely, we show that the signature of a branched rough path is trivial if and only if the path is tree-like, and construct a non-commutative Fourier transform for probability measures on signatures of branched rough paths. We use the latter to provide sufficient conditions for a random signature to be determined by its expected value, thus giving an answer to the uniqueness moment problem for branched rough paths.
Full work available at URL: https://arxiv.org/abs/1712.01965
Recommendations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Hopf algebras and their applications (16T05)
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Cited In (12)
- Geometric versus non-geometric rough paths
- The geometry of the space of branched rough paths
- A rough path perspective on renormalization
- Mini-workshop: Combinatorial and algebraic structures in rough analysis and related fields. Abstracts from the mini-workshop held November 26 -- December 2, 2023
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- Renormalisation from non-geometric to geometric rough paths
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- Rough paths and Hopf algebras
- A combinatorial approach to geometric rough paths and their controlled paths
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- A remainder estimate for branched rough differential equations
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