A variation embedding theorem and applications

DOI10.1016/J.JFA.2005.12.021zbMATH Open1114.46022arXivmath/0511520OpenAlexW2130943653MaRDI QIDQ860769FDOQ860769

Authors: Nicolas Victoir, Peter Friz 

Publication date: 9 January 2007

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: Fractional Sobolev spaces, also known as Besov or Slobodetzki spaces, arise in many areas of analysis, stochastic analysis in particular. We prove an embedding into certain q-variation spaces and discuss a few applications. First we show q-variation regularity of Cameron-Martin paths associated to fractional Brownian motion and other Volterra processes. This is useful, for instance, to establish large deviations for enhanced fractional Brownian motion. Second, the q-variation embedding, combined with results of rough path theory, provides a different route to a regularity result for stochastic differential equations by Kusuoka. Third, the embedding theorem works in a non-commutative setting and can be used to establish Hoelder/variation regularity of rough paths.

Full work available at URL: https://arxiv.org/abs/math/0511520

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zbMATH Keywords

Besov spacesrough path\(q\)-variation embeddingfractional SobolevRegularity of Cameron-Martin pathsregularity of Ito-map

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Sample path properties (60G17) Stochastic integrals (60H05)

Cites Work

• Equivalent Norms for Sobolev Spaces
• Differential equations driven by rough signals
• System Control and Rough Paths
• Stochastic integration with respect to Volterra processes
• On fractional Brownian processes
• Integration with respect to fractal functions and stochastic calculus. II
• Approximations of the Brownian rough path with applications to stochastic analysis
• Lévy's area under conditioning
• Large deviation principle for enhanced Gaussian processes

Cited In (34)

• Rough path metrics on a Besov-Nikolskii-type scale
• On Sobolev rough paths
• Integrability and tail estimates for Gaussian rough differential equations
• Title not available (Why is that?)
• The uniqueness of signature problem in the non-Markov setting
• Smoothness of the density for solutions to Gaussian rough differential equations
• New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case
• Moderate deviations for rough differential equations
• Differential equations driven by Gaussian signals
• ON THE REGULARITY OF SLE TRACE
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Densities for rough differential equations under Hörmander's condition
• Laplace approximation for rough differential equation driven by fractional Brownian motion
• Sobolev regularity of occupation measures and paths, variability and compositions
• Deterministic homogenization under optimal moment assumptions for fast-slow systems. II
• Optimal extension to Sobolev rough paths
• Singular paths spaces and applications
• On the lack of Gaussian tail for rough line integrals along fractional Brownian paths
• Malliavin calculus for regularity structures: the case of gPAM
• An integrable bound for rough stochastic partial differential equations with applications to invariant manifolds and stability
• Precise Laplace approximation for mixed rough differential equation
• Malliavin calculus and rough paths
• Smoothness of densities for area-like processes of fractional Brownian motion
• Stein's method for rough paths
• Characterization of nonlinear Besov spaces
• Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case
• Precise asymptotics: robust stochastic volatility models
• Differential equations driven by rough paths with jumps
• Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)
• Rough path theory and stochastic calculus
• Rough differential equations driven by signals in Besov spaces
• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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