Date
Mon, 18 Oct 2010
14:15
Location
Eagle House
Speaker
Jeremie Unterberger

 Rough path theory, invented by T. Lyons, is a successful and general method for solving ordinary or stochastic differential equations driven by irregular H\"older paths, relying on the definition of a finite number of substitutes of iterated integrals satisfying definite algebraic and regularity properties.

Although these are known to exist, many questions are still open, in

particular:  (1) "how many" possible choices are there ? (2) how to construct one explicitly ?  (3) what is the connection to "true" iterated integrals obtained by an approximation scheme ?

  In a series of papers, we (1) showed that "formal" rough paths (leaving aside

regularity) were exactly determined by so-called "tree data"; (2) gave several explicit constructions, the most recent ones relying on quantum field renormalization methods; (3) obtained with J. Magnen (Laboratoire de Physique Theorique, Ecole Polytechnique)  a L\'evy area for fractional Brownian motion with Hurst index <1/4 as the limit in law of  iterated integrals of a non-Gaussian interacting process, thus calling for a redefinition of the process itself.  The latter construction belongs to the field of high energy physics, and as such established by using constructive field theory and renormalization; it should extend to a general rough path (work in progress).

Please contact us with feedback and comments about this page. Last updated on 03 Apr 2022 01:32.