A simple proof of distance bounds for Gaussian rough paths

DOI10.1214/EJP.V18-2387zbMATH Open1290.60046arXiv1206.5866OpenAlexW2141497691MaRDI QIDQ389014FDOQ389014

Authors: Sebastian Riedel, Weijun Xu 

Publication date: 17 January 2014

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

Abstract: We derive explicit distance bounds for Stratonovich iterated integrals along two Gaussian processes (also known as signatures of Gaussian rough paths) based on the regularity assumption of their covariance functions. Similar estimates have been obtained recently in [Friz-Riedel, AIHP, to appear]. One advantage of our argument is that we obtain the bound for the third level iterated integrals merely based on the first two levels, and this reflects the intrinsic nature of rough paths. Our estimates are sharp when both covariance functions have finite 1-variation, which includes a large class of Gaussian processes. Two applications of our estimates are discussed. The first one gives the a.s. convergence rates for approximated solutions to rough differential equations driven by Gaussian processes. In the second example, we show how to recover the optimal time regularity for solutions of some rough SPDEs.

Full work available at URL: https://arxiv.org/abs/1206.5866

Recommendations

• Stochastic integration with respect to Gaussian processes.
• Differential equations driven by Gaussian signals
• A uniform estimate for rough paths
• Skorohod and Stratonovich integrals for controlled processes
• Recovering the pathwise Itô solution from averaged Stratonovich solutions
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Convergence rates for the full Gaussian rough paths
• On an inversion theorem for Stratonovich's signatures of multidimensional diffusion paths
• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths

zbMATH Keywords

iterated integralssignaturesGaussian rough paths

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (3)

• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
• Large deviation principle for certain spatially lifted Gaussian rough path

This page was built for publication: A simple proof of distance bounds for Gaussian rough paths

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q389014)