On uniformly subelliptic operators and stochastic area

DOI10.1007/S00440-007-0113-YzbMATH Open1151.31009arXivmath/0609007OpenAlexW2129697786MaRDI QIDQ946486FDOQ946486

Authors: Nicolas Victoir, Peter Friz 

Publication date: 23 September 2008

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We consider uniformly subelliptic operators on certain unimodular Lie groups of polynomial growth. It was shown by Saloff-Coste and Stroock that classical results of De Giorgi, Nash, Moser, Aronson extend to this setting. It was then observed by Sturm that many proofs extend naturally to the setting of locally compact Dirichlet spaces. We relate these results to what is known as rough path theory by showing that they provide a natural and powerful analytic machinery for construction and study of (random) geometric Hoelder rough paths. (In particular, we obtain a simple construction of the Lyons-Stoica stochastic area for a diffusion process with uniformly elliptic generator in divergence form.) Our approach then enables us to establish a number of far-reaching generalizations of classical theorems in diffusion theory including Wong-Zakai approximations, Freidlin-Wentzell sample path large deviations and the Stroock-Varadhan support theorem. The latter was conjectured by T. Lyons in his recent St. Flour lecture.

Full work available at URL: https://arxiv.org/abs/math/0609007

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Mathematics Subject Classification ID

Dirichlet forms (31C25)

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Cited In (10)

• Stochastic differential equations driven by processes generated by divergence form operators. II: Convergence results
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• A version of Hörmander's theorem for Markovian rough paths
• Random walks and Lévy processes as rough paths
• Euler estimates for rough differential equations
• A support and density theorem for Markovian rough paths
• Rough path stability of (semi-)linear SPDEs
• Canonical RDEs and general semimartingales as rough paths
• Rough path limits of the Wong-Zakai type with a modified drift term
• Uniformly γ-radonifying families of operators and the stochastic Weiss conjecture

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