A note on the notion of geometric rough paths

被引:34
|
作者
Friz, Peter
Victoir, Nicolas
机构
[1] Univ Cambridge, Stat Lab, Cambridge CB3 0WB, England
[2] Univ Oxford, Inst Math, Oxford OX1 3LB, England
关键词
D O I
10.1007/s00440-005-0487-7
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We use simple sub-Riemannian techniques to prove that every weak geometric p-rough path (a geometric p-rough path in the sense of [20]) is the limit in sup-norm of a sequence of canonically lifted smooth paths, uniformly bounded in p-variation, thus clarifying the two different definitions of a geometric p-rough path. Our proofs are sufficiently general to include the case of Holder- and modulus-type regularity. This allows us to extend a few classical results on Holder-spaces and p -variation spaces to the non-commutative setting necessary for the theory of rough paths. As an application, we give a precise description of the support of Enhanced Fractional Brownian Motion, and prove a conjecture by Ledoux et al.
引用
收藏
页码:395 / 416
页数:22
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