27 research outputs found
A new theorem on the existence of the Riemann-Stieltjes integral and an improved version of the Loéve-Young inequality
Multiscale Systems, Homogenization, and Rough Paths:VAR75 2016: Probability and Analysis in Interacting Physical Systems
In recent years, substantial progress was made towards understanding
convergence of fast-slow deterministic systems to stochastic differential
equations. In contrast to more classical approaches, the assumptions on the
fast flow are very mild. We survey the origins of this theory and then revisit
and improve the analysis of Kelly-Melbourne [Ann. Probab. Volume 44, Number 1
(2016), 479-520], taking into account recent progress in -variation and
c\`adl\`ag rough path theory.Comment: 27 pages. Minor corrections. To appear in Proceedings of the
Conference in Honor of the 75th Birthday of S.R.S. Varadha
Rough path metrics on a BesovâNikolskii-type scale
It is known, since the seminal work [T. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana, 14 (1998)], that the
solution map associated to a controlled differential equation is locally Lipschitz
continuous in q-variation, resp., 1/q-Hšolder-type metrics on the space of rough
paths, for any regularity 1/q â (0, 1].
We extend this to a new class of BesovâNikolskii-type metrics, with arbitrary regularity 1/q â (0, 1] and integrability p â [q, â], where the case
p â {q,â} corresponds to the known cases. Interestingly, the result is obtained as a consequence of known q-variation rough path estimates
Rough path metrics on a BesovâNikolskii-type scale
It is known, since the seminal work [T. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana, 14 (1998)], that the solution map associated to a controlled differential equation is locally Lipschitz continuous in q-variation, resp., 1/q-Hšolder-type metrics on the space of rough paths, for any regularity 1/q â (0, 1]. We extend this to a new class of BesovâNikolskii-type metrics, with arbitrary regularity 1/q â (0, 1] and integrability p â [q, â], where the case p â {q,â} corresponds to the known cases. Interestingly, the result is obtained as a consequence of known q-variation rough path estimates
Examples of renormalized SDEs
We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a magnetic force which dominates over the friction forces in the small mass limit. Our second example involves a lead-lag process of discretised fractional Brownian motion with Hurst parameter Hâ(1/4,1/2), in which the stochastic area captures the quadratic variation of the process. In both examples, a renormalisation of the second iterated integral is needed to ensure convergence of the processes, and we comment on how this procedure mimics negative renormalisation arising in the study of singular SPDEs and regularity structures
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
We consider non-linear parabolic evolution equations of the form and#948;tu=F(t,x,Du,D2u), subject to noise of the form H(x,Du) dB where H is linear in Du and dB denotes the Stratonovich differential of a multi-dimensional Brownian motion. Motivated by the essentially pathwise results of [P.-L. Lions, P.E. Souganidis, Fully nonlinear stochastic partial differential equations, C. R. Acad. Sci. Paris Sand#233;r. I Math. 326 (9) (1998) 1085-1092] we propose the use of rough path analysis [T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (2) (1998) 215-310] in this context. Although the core arguments are entirely deterministic, a continuity theorem allows for various probabilistic applications (limit theorems, support, large deviations, ...)
A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
We consider non-linear parabolic evolution equations of the form ÎŽtu=F(t,x,Du,D2u), subject to noise of the form H(x,Du) dB where H is linear in Du and dB denotes the Stratonovich differential of a multi-dimensional Brownian motion. Motivated by the essentially pathwise results of [P.-L. Lions, P.E. Souganidis, Fully nonlinear stochastic partial differential equations, C. R. Acad. Sci. Paris SĂ©r. I Math. 326 (9) (1998) 1085-1092] we propose the use of rough path analysis [T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (2) (1998) 215-310] in this context. Although the core arguments are entirely deterministic, a continuity theorem allows for various probabilistic applications (limit theorems, support, large deviations, ...)