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arXiv · 1611.06144

Integration of geometric rough paths

Danyu Yang
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Abstract

We build a connection between rough path theory and noncommutative algebra, and interpret the integration of geometric rough paths as an example of a non-abelian Young integration. We identify a class of slowly-varying one-forms, and prove that the class is stable under basic operations. In particular rough path theory is extended to allow a natural class of time varying integrands.

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Danyu Yang. 2016-11-18. Integration of geometric rough paths. https://arxiv.org/abs/1611.06144

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