English

Geometric rough paths on infinite dimensional spaces

Probability 2023-03-09 v4 Metric Geometry

Abstract

Similar to ordinary differential equations, rough paths and rough differential equations can be formulated in a Banach space setting. For α(1/3,1/2)\alpha\in (1/3,1/2), we give criteria for when we can approximate Banach space-valued weakly geometric α\alpha-rough paths by signatures of curves of bounded variation, given some tuning of the H\"older parameter. We show that these criteria are satisfied for weakly geometric rough paths on Hilbert spaces. As an application, we obtain Wong-Zakai type result for function space valued martingales using the notion of (unbounded) rough drivers.

Keywords

Cite

@article{arxiv.2006.06362,
  title  = {Geometric rough paths on infinite dimensional spaces},
  author = {Erlend Grong and Torstein Nilssen and Alexander Schmeding},
  journal= {arXiv preprint arXiv:2006.06362},
  year   = {2023}
}

Comments

23 pages, v4: major revision

R2 v1 2026-06-23T16:14:04.155Z