The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory

DOI10.1214/14-AOP986zbMath1347.60097arXiv1307.3460OpenAlexW2268683425MaRDI QIDQ272978

Peter K. Friz, Archil Gulisashvili, Benjamin Gess, Sebastian Riedel

Publication date: 21 April 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3460

zbMATH Keywords

Fourier multipliersGaussian processesstochastic partial differential equationsrandom Fourier seriesrough pathsCameron-Martin regularitycomplementary Young regularityfractional stochastic heat equationJain-Monrad criterionnon-Markovian Hörmander theory

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Multipliers in one variable harmonic analysis (42A45) Stochastic analysis (60H99) Trigonometric series of special types (positive coefficients, monotonic coefficients, etc.) (42A32) Probabilistic methods for one variable harmonic analysis (42A61)

Related Items (31)

Optimal rate of convergence for stochastic Burgers-type equations ⋮ On probability laws of solutions to differential systems driven by a fractional Brownian motion ⋮ Malliavin calculus for regularity structures: the case of gPAM ⋮ Rough differential equations with unbounded drift term ⋮ On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions ⋮ Random dynamical systems, rough paths and rough flows ⋮ A support and density theorem for Markovian rough paths ⋮ Density bounds for solutions to differential equations driven by Gaussian rough paths ⋮ Itô's formula for Gaussian processes with stochastic discontinuities ⋮ Perturbations of singular fractional SDEs ⋮ A Fubini type theorem for rough integration ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ Large deviation principle for certain spatially lifted Gaussian rough path ⋮ Convergence of trapezoid rule to rough integrals ⋮ Volterra equations driven by rough signals. III: Probabilistic construction of the Volterra rough path for fractional Brownian motions ⋮ A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations ⋮ Rough path theory and stochastic calculus ⋮ Discrete rough paths and limit theorems ⋮ Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Paracontrolled distribution approach to stochastic Volterra equations ⋮ First-order Euler scheme for SDEs driven by fractional Brownian motions: the rough case ⋮ Malliavin differentiability of solutions of rough differential equations ⋮ Rough path metrics on a Besov–Nikolskii-type scale ⋮ Young and rough differential inclusions ⋮ Skorohod and rough integration for stochastic differential equations driven by Volterra processes ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields ⋮ An isomorphism between branched and geometric rough paths ⋮ Besov rough path analysis (with an appendix by Pavel Zorin-Kranich) ⋮ ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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