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arXiv · 2303.09016

Chaos processes as rough paths

Guang Yang
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Abstract

In this article we investigate the rough paths structure of a process $X_t$ living in a fixed Wiener chaos. Specifically, we formulate various types of rough lifts of $X_t$ and study their properties. As application, we study the integrabilities of quantities related to rough differential equations driven by $X_t$.

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Guang Yang. 2023-03-16. Chaos processes as rough paths. https://arxiv.org/abs/2303.09016

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