Rough paths

In , a rough path is a generalization of the notion of smooth path allowing to construct a robust solution theory for controlled differential equations driven by classically irregular signals, for example a Wiener process. The theory was developed in the 1990s by Terry Lyons. Several accounts of the theory are available.

Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It builds upon the harmonic analysis of L.C. Young, the geometric algebra of K.T. Chen, the Lipschitz function theory of H. Whitney and core ideas of stochastic analysis. The concepts and the uniform estimates have widespread application in pure and applied Mathematics and beyond. It provides a toolbox to recover with relative ease many classical results in stochastic analysis (Wong-Zakai, Stroock-Varadhan support theorem, construction of stochastic flows, etc) without using specific probabilistic properties such as the martingale property or predictability. The theory also extends Ito's theory of SDEs far beyond the semimartingale setting. At the heart of the mathematics is the challenge of describing a smooth but potentially highly oscillatory and multidimensional path ${\displaystyle x_{t}}$ effectively so as to accurately predict its effect on a nonlinear dynamical system ${\displaystyle \mathrm {d} y_{t}=f(y_{t})\,\mathrm {d} x_{t},y_{0}=a}$. The Signature is a homomorphism from the monoid of paths (under concatenation) into the grouplike elements of the free tensor algebra. It provides a graduated summary of the path ${\displaystyle x}$. This noncommutative transform is faithful for paths up to appropriate null modifications. These graduated summaries or features of a path are at the heart of the definition of a rough path; locally they remove the need to look at the fine structure of the path. Taylor's theorem explains how any smooth function can, locally, be expressed as a linear combination of certain special functions (monomials based at that point). Coordinate iterated integrals (terms of the signature) form a more subtle algebra of features that can describe a stream or path in an analogous way; they allow a definition of rough path and form a natural linear "basis" for continuous functions on paths.

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