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arXiv · 1409.3757

Integration of rough paths - the truncated variation approach

Rafał M. Łochowski
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Abstract

Using truncated variation techniques we obtain an improved version of the Loeve-Young inequality for the Riemann-Stieltjes integrals driven by rough paths. This allowed us to strenghten some result on the existence of solutions of integral equations driven by moderately irregular signals. We introduce also a new Banach space, containing as a proper subspace the paths with finite $p$-variation, and develop, in a systematic way, several parallel results for the paths from this space, obtained so far for the paths with finite $p$-variation. We start the paper with a general theorem on the existence of the Riemann-Stieltjes integral.

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Rafał M. Łochowski. 2014-09-15. Integration of rough paths - the truncated variation approach. https://arxiv.org/abs/1409.3757

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