# Questions tagged [rough-paths]

Questions about an area of probability theory, rough paths.

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### Can we extract information from signature (rough path theory) to construct part of signal?

This question is related to rough path theory. Consider we have obtained signature obtained from a set discrete data points postulating linear from one data point to another. Such signature are used ...

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### Can we relate Levy area to the resonant term in paracontrolled calculus in the case of a controlled differential equation?

Consider the SDE:
$$dX_t=V(X_t)dW_t^H$$
Where $W_t^H$ is fractional Brownian motion with Hurst parameter $H\in (1/3,1/2)$. This equation can be solved by rough paths theory. The idea is we have to ...

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78 views

### What are morphisms between regularity structures?

In Hairer's notes A Theory of Regularity Structures he defines automorphisms of a regularity structure on page 28. I will recall the definition here:
Is there any way of extending this to morphisms ...

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### Why is the Jain Monrad condition the right condition on general Gaussian processes?

Consider a covariance function $\sigma^2(s,t)=E((X_t-X_s)^2)$, where $X\colon I\to \Bbb R^d$ is a Gaussian process.
Given a $\rho\ge 1$ and a superadditive function $\omega(s,t)$ we say that Jain ...

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141 views

### Are Holder Condition and signal to noise ratio (SNR) related?

This question was posted in https://math.stackexchange.com but I got hardly any view. If posting here is an objection please let me know I would delete it immediately.
This question has evolved from ...

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88 views

### Under what condition we get back path from signatures in rough path theory?

A link to wikipedia for rough pat theory is: https://en.wikipedia.org/wiki/Rough_path
It appears path and signatures has one to one mapping in many cases. I understand that the signature is not ...

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244 views

### What does the group action of a rough path in a Lie group look like?

Rough paths can be thought of as taking values in a Lie group embedded in the tensor algebra of $\Bbb R^d$. See page 17/section 2.3. Lie groups represent the continuous symmetries of some object. ...

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### An integral by rough path.

If $(b, \mathbb{b})\in \mathcal{D}^{\alpha}[0,T],\ \alpha\in (\frac{1}{3}, \frac{1}{2})$. $\mathcal{D}^{\alpha}[0,T]$ is the space of those rough paths $(b,\mathbb{b})$
￼￼such that
$$ \|b\|_\alpha=...

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67 views

### Iterated integral with a irregular path

For the proof of Fundamental Lemma 3.1 on the page 400 of K.T. Chen's 1957 paper Integration of paths--A faithful representation of paths by noncommutative
formal power series, it requires the path $\...

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136 views

### Reference: Ito lemma for rough paths

Hi I'm looking for an Ito-type lemma for rough paths but am having difficulty finding something. Could someone kindly point me in the right direction?

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133 views

### Second order calculus and rough paths

In Emery's book "Stochastic calculus in manifolds", he shows how to make sense of integrals of the form
$$ \int \langle\Theta_t, \mathbf{d} X_t\rangle,$$
where $X$ is a semimartingale on a manifold $M$...

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77 views

### Continuity of solution map to Stratonovich Integral

For paths $x:[0, T] \rightarrow \mathbb{R}^n$, the Stratonovich integral along a one form $\omega$ on $\mathbb{R}^n$ can be defined by
$$ S_\omega(x) := \int_0^T \omega(x(t)) \mathrm{d}x(t) := \lim_{|\...

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408 views

### What's an example of a rough path that's not Ito/Stratonovich-Brownian rough path?

The only rough path that I've ever seen discussed are the ones associated with Brownian motion. I could use a "rough path" for any nice function, defeating the point. In particular are there ...

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255 views

### Rough path theory- Verify that $\mathbb{X}_{s,t}=\int_s^t X_{s,t} \otimes dX_r$

This is exercise 7.7 from Martin Hairer's Rough Path notes.
Verify that $\mathbb{X}_{s,t}=\int_s^t X_{s,t} \otimes dX_r$ where the integral is to be interpreted in the sense of (4.22) (I'll define ...

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466 views

### Why the term “geometric” rough path?

A "geometric" rough path is a rough path such that $Sym(\mathbb{X}_{s,t})=\frac{1}{2}X_{s,t}\otimes X_{s,t}$. For example the Ito rough path is not geometric because $Sym(\mathbb{X}_{s,t})=\frac{1}{2}...

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1k views

### understanding of rough path

A rough path is defined as an ordered pair
$ (X, \mathbb X)$, where $X$ is a path mapping from $[0,T]$ to some Banach space $V$
and $\mathbb X:[0,T]^2 \mapsto V^2$ is another mapping for additional ...

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687 views

### Understand rough path iterated integral and how to compute it numerically?

The "signature" of rough path theory is defined by iterated integral as
$s(k)=\int_{0 \le u_1 \le \cdots \le u_k \le t} \mathrm{d}X_{u_1} \otimes \cdots \otimes \mathrm{d}X_{u_k}$
in witch $X(t)$ is ...

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901 views

### An iterated tensor product integral

In "Differential equations driven by rough paths" (Terry Lyons, et al) section 1.4.2 it's claimed that the symmetric part of the tensor:
$\int_{0 \le u_1 \le \cdots \le u_j \le t} \mathrm{d}X_{u_1} \...