A simple proof of distance bounds for Gaussian rough paths

DOI10.1214/EJP.V18-2387MaRDI QIDQ389014zbMATH OpenOpenAlexFDO

Authors Sebastian Riedel, Weijun Xu

Publication date 17 January 2014

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

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

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)

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.

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Cited in

(6)

• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Convergence rates for the full Gaussian rough paths
• On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
• Large deviation principle for certain spatially lifted Gaussian rough path
• A uniform estimate for rough paths
• Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes

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