Quasi-geometric rough paths and rough change of variable formula

DOI10.1214/22-AIHP1297MaRDI QIDQ6187887zbMATH OpenFDO

Authors Carlo Bellingeri

Publication date 16 January 2024

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.00903

zbMATH Keywords

change of variable formulaHopf algebrasquasi-shuflle algebrasrough paths

Mathematics Subject Classification ID

Rough paths (60L20) Algebraic structures and computation (60L70)

Abstract: Using some basic notions from the theory of Hopf algebras and quasi-shuffle algebras, we introduce rigorously a new family of rough paths: the quasi-geometric rough paths. We discuss their main properties. In particular, we will relate them with iterated Brownian integrals and the concept of "simple bracket extension", developed in the PhD thesis of David Kelly. As a consequence of these results, we have a sufficient criterion to show for any $gammain(0,1)$ and any sufficiently smooth function $varphicolonmathbb{R}^{d}omathbbR$ a rough change of variable formula on any $gamma$-H"older continuous path $xcolon[0,T]omathbb{R}^d$, i.e. an explicit expression of $varphi(x_t)$ in terms of rough integrals.

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Cited in

(6)

• Mini-workshop: Combinatorial and algebraic structures in rough analysis and related fields. Abstracts from the mini-workshop held November 26 -- December 2, 2023
• Flows driven by multi-indices rough paths
• Branched Itô formula and natural Itô-Stratonovich isomorphism
• A transfer principle for branched rough paths
• Itô formula for reduced rough paths
• Insertion pre-Lie products and translation of rough paths based on multi-indices

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