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journal article

Geometric versus non-geometric rough paths

Hairer, Martin  
•
Kelly, David
February 1, 2015
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

In this article we consider rough differential equations (RDEs) driven by non-geometric rough paths, using the concept of branched rough paths introduced in (J. Differential Equations 248 (2010) 693-721). We first show that branched rough paths can equivalently be defined as gamma-Holder continuous paths in some Lie group, akin to geometric rough paths. We then show that every branched rough path can be encoded in a geometric rough path. More precisely, for every branched rough path X lying above a path X, there exists a geometric rough path (X) over bar lying above an extended path (X) over bar, such that (X) over bar contains all the information of X. As a corollary of this result, we show that every RDE driven by a non-geometric rough path X can be rewritten as an extended RDE driven by a geometric rough path (X) over bar. One could think of this as a generalisation of the Ito-Stratonovich correction formula.

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Type
journal article
DOI
10.1214/13-AIHP564
Web of Science ID

WOS:000348969500009

Author(s)
Hairer, Martin  
Kelly, David
Date Issued

2015-02-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
Volume

51

Issue

1

Start page

207

End page

251

Subjects

DIFFERENTIAL-EQUATIONS DRIVEN

•

BROWNIAN-MOTION

•

FORMULA

•

RENORMALIZATION

•

Rough paths

•

Hopf algebra

•

Integration

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

EPSRC

EP/D071593/1

Leverhulme Trust

Royal Society

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Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241207
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