Ramification of rough paths

M. Gubinelli

First issued 9 October 2006 · PDF

Abstract

The stack of iterated integrals of a path is embedded in a larger algebraic structure where iterated integrals are indexed by decorated rooted trees and where an extended Chen's multiplicative property involves the Dürr-Connes-Kreimer coproduct on rooted trees. This turns out to be the natural setting for a non-geometric theory of rough paths.

Versions

1. Version 1 (arXiv v1) current
   9 October 2006
   arXiv comments: 28 pages
   PDF · LaTeX source · files and digests · arXiv:math/0610300

Cite

M. Gubinelli. Ramification of rough paths. Papers of Massimiliano Gubinelli, 2006, version 1. https://mgubi.org/papers/paper/ramification-rough-paths/

Licence: arXiv.org non-exclusive license to distribute, assumed for submissions of 1991-2003; all other rights reserved to the authors

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