Spatial rough path lifts of stochastic convolutions

Authors Peter Friz, Benjamn Gess, Archil Gulisashvili, Sebastian Riedel

Publication date 31 October 2012

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Trigonometric series of special types (positive coefficients, monotonic coefficients, etc.) (42A32)

Abstract: We present sufficient conditions for finite controlled rho-variation of the covariance of Gaussian processes with stationary increments, based on concavity or convexity of their variance function. The motivation for this type of conditions comes from recent work of Hairer [CPAM,2011]. Our results allow to construct rough paths lifts of solutions to a class of fractional stochastic heat equations with additive, possibly colored Wiener noise with respect to their space variable.

This page was built for publication: Spatial rough path lifts of stochastic convolutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6236836)