Related papers: Ramification of rough paths
The central aim of this work is to understand rough differential equations on homogeneous spaces. We focus on the formal approach, by giving an explicit expansion of the solution at each point of the real line in terms of decorated planar…
Chen's iterated integrals are treated within synthetic differential geometry. The main result is that iterated integrals produce a subcomplex of the de Rham complex on the free path space as well as based path spaces.
Calculus via regularizations and rough paths are two methods to approach stochastic integration and calculus close to pathwise calculus. The origin of rough paths theory is purely deterministic, calculus via regularization is based on…
Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…
Using rough path theory, we provide a pathwise foundation for stochastic It\^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To…
In this complementary note to [1] (arXiv:1501.05641), we provide an alternative proof for the factorial decay estimate of iterated integrals for geometric rough paths without using the neoclassical inequality. This note intends to aid the…
We use the diagram-free approach to regularity structures introduced by Otto et. al. to build rough paths based on multi-indices. We identify the analogue of the insertion pre-Lie algebra of trees and use it to build the corresponding group…
We introduce the class of "smooth rough paths" and study their main properties. Working in a smooth setting allows us to discard sewing arguments and focus on algebraic and geometric aspects. Specifically, a Maurer-Cartan perspective is the…
This paper studies higher index theory for a random sequence of bounded degree, finite graphs with diameter tending to infinity. We show that in a natural model for such random sequences the following hold almost surely: the coarse…
We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…
Recently it was proved that the group of rough paths modulo tree-like equivalence is isomorphic to the corresponding signature group through the signature map S (a generalized notion of taking iterated path integrals). However, the proof of…
We establish a new scale of $p$-variation estimates for martingale paraproducts, martingale transforms, and It\^o integrals, of relevance in rough paths theory, stochastic, and harmonic analysis. As an application, we introduce rough…
We introduce the notions of tree-like path and tree-like equivalence between paths and prove that the latter is an equivalence relation for paths of finite length. We show that the equivalence classes form a group with some similarity to a…
Lyon's rough paths give an algebraic and analytic framework for Stieltjes integrals in a regime of low regularity where the usual Riemann-Stieltjes integral does not converge. Before we may rigorously define rough paths, we start with the…
In this paper, we build the foundation for a theory of controlled rough paths on manifolds. A number of natural candidates for the definition of manifold valued controlled rough paths are developed and shown to be equivalent. The theory of…
Contrary to previous approaches bringing together algebraic geometry and signatures of paths, we introduce a Zariski topology on the space of paths itself, and study path varieties consisting of all paths whose iterated-integrals signature…
We generalize Bruned et.al.'s notion of translation in geometric and branched rough paths to a notion of translation in rough paths over any combinatorial Hopf algebra. We show that this notion of translation is equivalent to two bialgebras…
We construct an explicit transitive free action of a Banach space of H\"older functions on the space of branched rough paths, which yields in particular a bijection between theses two spaces. This endows the space of branched rough paths…
In this article we investigate the rough paths structure of a process $X_t$ living in a fixed Wiener chaos. Specifically, we formulate various types of rough lifts of $X_t$ and study their properties. As application, we study the…
Hopf algebra structures on rooted trees are by now a well-studied object, especially in the context of combinatorics. In this work we consider a Hopf algebra H by introducing a coproduct on a (commutative) algebra of rooted forests,…