Multidimensional Stochastic Processes as Rough Paths: Theory by Peter K. Friz

By Peter K. Friz

Tough direction research offers a clean standpoint on Ito's very important conception of stochastic differential equations. Key theorems of recent stochastic research (existence and restrict theorems for stochastic flows, Freidlin-Wentzell conception, the Stroock-Varadhan help description) will be received with dramatic simplifications. Classical approximation effects and their boundaries (Wong-Zakai, McShane's counterexample) obtain 'obvious' tough course factors. facts is development that tough paths will play an enormous position sooner or later research of stochastic partial differential equations and the authors comprise a few first leads to this course. additionally they emphasize interactions with different elements of arithmetic, together with Caratheodory geometry, Dirichlet types and Malliavin calculus. in response to winning classes on the graduate point, this updated creation offers the speculation of tough paths and its purposes to stochastic research. Examples, causes and workouts make the booklet obtainable to graduate scholars and researchers from quite a few fields.

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Extra resources for Multidimensional Stochastic Processes as Rough Paths: Theory and Applications (Cambridge Studies in Advanced Mathematics)

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37 The map y → · 0 yt dt is a Banach space isomorph from L∞ [0, T ] , Rd → C01-H¨o l [0, T ] , Rd . As a consequence, x ∈ C 1-H¨o l [0, T ] , Rd if and only if there exists a (uniquely determined) x˙ ∈ L∞ [0, T ] , Rd such that · x ≡ x0 + x˙ t dt 0 ˙ L ∞ holds. and in this case the Banach isometry |x|1-H¨o l = |x| Proof. 31 and left to the reader. From general principles, any continuous path of finite 1-variation can be reparametrized to a 1-H¨older path. In the present context of Rd -valued paths this can be done so that the reparametrized path has constant speed.

In the following theorem we see that a similar statement holds true for all p > 1. 44 Let p ∈ (1, ∞). Given x ∈ W 1,p [0, T ] , Rd , ω (s, t) = |x|W 1 , p ;[s,t] (t − s) 1−1/p defines a control function on [0, T ] and we have |x|1-var;[s,t] ≤ ω (s, t) for all s < t in [0, T ]. In particular, we have the continuous embedding W 1,p [0, T ] , Rd → C 1-var [0, T ] , Rd . Proof. Without loss of generality x0 = 0. 31, x is the older’s indefinite integral of some x˙ ∈ L1 . Define α = 1 − 1/p. Using H¨ inequality with conjugate exponents p and 1/α t |xs,t | ≤ t α |x˙ r | dr ≤ (t − s) s = |x|W 1 , p ;[s,t] (t − s) = ω (s, t) .

For p = ∞, such paths are Lipschitz or 1-H¨ older continuous; more precisely |xs,t | ≤ |x|W 1 , ∞ ;[s,t] |t − s|. Observe that the right-hand side is a control so that |xs,t | in the above estimate can be replaced by |x|1-var;[s,t] . In the following theorem we see that a similar statement holds true for all p > 1. 44 Let p ∈ (1, ∞). Given x ∈ W 1,p [0, T ] , Rd , ω (s, t) = |x|W 1 , p ;[s,t] (t − s) 1−1/p defines a control function on [0, T ] and we have |x|1-var;[s,t] ≤ ω (s, t) for all s < t in [0, T ].

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