A note on higher dimensional p-variation

DOI10.1214/EJP.V16-951zbMATH Open1244.60066OpenAlexW2042634187MaRDI QIDQ428557FDOQ428557

Authors Nicolas Victoir, Peter Friz

Publication date 22 June 2012

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

Full work available at URL https://arxiv.org/abs/1102.4587

zbMATH Keywords

Gaussian rough pathshigher dimensional \(p\)-variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic analysis (60H99)

Abstract: We discuss $p$-variation regularity of real-valued functions defined on $[0,T{]}^2$, based on rectangular increments. When $p>1$, there are two slightly different notions of $p$-variation; both of which are useful in the context of Gaussian rough paths. Unfortunately, these concepts were blurred in previous works; the purpose of this note is to show that the aforementioned notions of $p$-variations are "$epsilon$-close". In particular, all arguments relevant for Gaussian rough paths go through with minor notational changes.

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Cited in

(15)

• An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields
• Malliavin calculus and rough paths
• A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
• Convergence rates for the full Gaussian rough paths
• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Smooth rough paths and the applications
• Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
• A tree approach to \(p\)-variation and to integration
• Skorohod and Stratonovich integrals for controlled processes
• Smoothness of the density for solutions to Gaussian rough differential equations
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Examples of Itô Càdlàg rough paths
• Integrability and tail estimates for Gaussian rough differential equations
• A Fubini type theorem for rough integration
• Convergence of trapezoid rule to rough integrals

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