# Questions tagged [rough-paths]

Questions about an area of probability theory, rough paths.

21
questions

**2**

votes

**1**answer

66 views

### Signature Map From $p$-Geometric Rough Paths to $T(\mathbb{R})$

Let $f:[0,T]\rightarrow \mathbb{R}^d$ be a p-geometric rough path and let $\mathcal{G}_p^d$ be the collection of all such paths. Does the Lyons signature map define a continuous bijection between
$\...

**0**

votes

**1**answer

70 views

### Rough paths theory for Non-Markovian processes

I would like to know whether there is a suitable extension of the theory of rough paths that could be useful to solve Non-Markovian problems.
I would appreciate any example or also any other theory (...

**3**

votes

**0**answers

37 views

### Is the space of $p$-geometric rough paths is Homeomorphic to Frechet Space

Let $\Omega G^p([0,T];\mathbb{R}^n)$ be a space of $p$-geometric rough paths with values in $\mathbb{R}^n$. Is $\Omega G^p([0,T];\mathbb{R}^n)$ homeomorphic to some Fr\'{e}chet space?

**2**

votes

**0**answers

49 views

### p-Variation distance defines semi-martingales

Question
When, does the process $\tilde{X}_t$, defined path-wise by
$$
\tilde{X}_t(\omega)\triangleq \rho_{\frac1{2}}\left((y_t,\mathbb{Y}_t),(x_t(\omega),\mathbb{X}_t(\omega))\right),
$$
define a ...

**2**

votes

**1**answer

179 views

### 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 ...

**5**

votes

**0**answers

139 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 ...

**2**

votes

**0**answers

68 views

### 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 ...

**3**

votes

**1**answer

163 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 ...

**3**

votes

**1**answer

160 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 ...

**4**

votes

**1**answer

381 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. ...

**2**

votes

**0**answers

136 views

### 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=...

**1**

vote

**0**answers

78 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 $\...

**3**

votes

**1**answer

177 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?

**5**

votes

**0**answers

152 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 $M$...

**1**

vote

**0**answers

91 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_{|\...

**4**

votes

**3**answers

473 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 ...

**2**

votes

**2**answers

347 views

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

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

**7**

votes

**1**answer

621 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}...

**17**

votes

**1**answer

2k 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 ...

**8**

votes

**1**answer

797 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 ...

**5**

votes

**1**answer

1k 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} \...