Questions tagged [rough-paths]
Questions about an area of probability theory, rough paths.
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Interpolation theorem for general rough paths
In Friz and Hairer's notes on rough paths, there is exercise 2.9 which is called the "interpolation theorem". It says that if you have a sequence of rough paths $\mathbf X^n=(X^n,\mathbb X^n)...
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Stability of SDE fBM
Consider an n-dimensional Ito process
$$
X_t^x = x + \int_0^t\, \alpha(s)ds + \int_0^t\,\beta(s)\,dB^H(s),
$$
where $1/3<H<1$ is the Hurst parameter for an $n$-dimensional fractional Brownian ...
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Let $X^n$ be a collection of smooth functions so that their $\alpha$-Holder norms are uniformly bounded
Let $X^n$ be a collection of smooth functions so that their $\alpha$-Holder norms for $\alpha \in (1/3,1/2)$ are uniformly bounded - that is $\sup_n \|X^n\|_\alpha<\infty$. Define the standard ...
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Rough path expected signature vs cumulant-generating function / characteristic function
What is the point of using rough path expected signature to characterize the law of а stochastic process when the cumulant generating function is known ($\log\mathbb{E}[e^{i\theta X(t)}]$)?
Since an ...
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What is a tensor product of random variables?
I am trying to understand the the following paper https://arxiv.org/pdf/1810.10971.pdf, in particular Example 2:
If $ Y \sim N(0,1)$, the standard normal on $\mathbb{R}$, then
$ \begin{align*} \Big( \...
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A path with zero increments and positive area
I am studying rough paths from the 2007 St Flour lecture notes and I came across the example at the end of chapter one of the sequence of paths $X(n):[0,2\pi]\to \mathbb R^2$ given by $X_t(n) = \frac{...
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Choice of stochastic integral picking the forward point in Riemann sum approximation and reversibility?
Consider the standard Riemann sum approximation of a stochastic integral (w.r.t Brownian motion for example) which is given by
\begin{align}
\int_0^t \sigma(X_s) \circ_{\lambda}dB_s \approx \sum_{i=1}^...
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Regularity of law of conditional law of a Markov process equivalent to regularity of its paths
Let $(X_t^x)_{t\in [0,\infty),\,x\in \mathbb{R}^n}$ be a Markov process taking values in $\mathbb{R}^m$ and defined on some stochastic basis $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\in [0,\infty}), \...
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Rough paths, unparametrized path space, and Kontsevich's moduli space of stable maps
Let $X$ be a manifold. Modulo reparametrization, the path space of $X$ is a groupoid $\Pi_X$. In Kapranov's "Free Lie Algebroids and the Space of Paths", Kapranov constructs an associated ...
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Are SDE adapted to the natural filtration?
Let $(B^H_t)_{t\in [0,T]}$ be a fractional Brownian motion. We consider the following SDE where $b$ and $\sigma$ are Lipschitz
$$X_t=x+\int_0^t b(X_s)ds+\int_0^t\sigma(X_s)dB^H_s.$$
When $H>1/2$, ...
5
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How to compare pathwise convergence and convergence in probability
This question was asked quite sometime back in mathexchange and deleted, as it was downvoted, asked again but never got an answer. So I am asking here.
Motivation: It appears pathwise convergence can ...
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Uniqueness of solutions of Young differential equations
Consider the following one dimensional Young differential equation:
\begin{align*}
&Y_t=\int_0^t Y_s dX_s,\quad t\in[0,1];\\
&Y_0=0.
\end{align*}
Here the driving process $X$ is a bounded ...
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Intuition behind Gubinelli derivative
I apologise for the confusion of the following sentences. I'm lazy to give more information about Rough path theory as Is a fairly broad subject.
On page 14 of "A Course on Rough Paths
With an ...
- 155
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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
$\...
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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 (...
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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?
- 4,883
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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 ...
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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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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 ...
user69208
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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 ...
user69208
3
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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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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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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. ...
user69208
3
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1
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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
$$ \|b\|_\alpha=...
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Iterated integral with a irregular path
For the proof of Fundamental Lemma 3.1 on the page 400 of K.T. Chen's 1957 paper Integration of paths--A faithful representation of paths by noncommutative
formal power series, it requires the path $\...
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Reference: Ito lemma for rough paths
Hi I'm looking for an Ito-type lemma for rough paths but am having difficulty finding something. Could someone kindly point me in the right direction?
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Second order calculus and rough paths
In Emery's book "Stochastic calculus in manifolds", he shows how to make sense of integrals of the form
$$ \int \langle\Theta_t, \mathbf{d} X_t\rangle,$$
where $X$ is a semimartingale on a manifold $M$...
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138
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Continuity of solution map to Stratonovich Integral
For paths $x:[0, T] \rightarrow \mathbb{R}^n$, the Stratonovich integral along a one form $\omega$ on $\mathbb{R}^n$ can be defined by
$$ S_\omega(x) := \int_0^T \omega(x(t)) \mathrm{d}x(t) := \lim_{|\...
- 9,207
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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 ...
user69208
3
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2
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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 ...
user69208
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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}...
user69208
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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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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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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} \...
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