arXiv subjects
Publications and source records attributed to Carlo Bellingeri.
We show that Young translation has dense orbits in the space of rough paths: for any two geometric rough paths, one can translate the first by a sequence of smooth paths so that it converges to the second in rough path topology. As applications, we obtain full-support criteria for rough paths arising from random series and Gaussian processes, including non-centered fractional Brownian rough paths.
We introduce the Wick integral $\int_s^t f(X_u) \Diamond \mathrm{d} X_u$ for a class of stochastic processes $X$ of bounded $2 > p$-variation which are not necessarily Gaussian. The integral is defined for a class of entire functions $f$ depending on the process. In the case of $1/2 < H$-fractional Brownian motion, the Wick integral agrees with the divergence operator in Malliavin calculus. It satisfies a correction formula with the Young integral $\int f(X)\mathrm{d} X$ and an It\^o formula which have infinitely many correction terms, given by integration against the cumulant functions of $X$, and reduce to familiar identities in the Gaussian case. These results are obtained by developing diagram formulae for Appell polynomials w.r.t.\ a linear span of reference random variables and extending them to series via absolute convergence in $L^1$. Our theory applies to processes taking values in the second Wiener chaos, such as the Rosenblatt process.
We study the convergence of the empirical distribution associated with a system of interacting kinetic particles subject to independent Brownian forcing in a finite horizon setting, using some recent progress on kinetic non-linear partial differential equations. Under general assumptions that require only weak convergence on the initial datum -- without assuming independence or moment conditions -- we prove convergence in probability to the corresponding non-linear Fokker-Planck PDE.
In this work, we introduce a solution theory for scalar-valued rough differential equations driven by multi-indices rough paths. To achieve this task, we will show how the flow approach using the log-ODE method introduced by Bailleul fits perfectly in this setting. In addition, we also describe the action of the translation of multi-indices rough paths at the level of rough differential equations.
In this work, we study the two main symmetries for the one-dimensional generalised KPZ equation (gKPZ): the chain rule and the It\^o Isometry. We consider the equation in the full-subcritical regimes and use multi-indices that avoid an over-parametrization of the renormalised equation to compute the dimension of the two spaces associated with these two symmetries. Our proof is quite elementary and shows that multi-indices provide in this case a simplification in comparison to the results obtained via decorated trees. It also completes the program on the study of the chain rule initiated in arxiv:1902.02884 and continued in arxiv:2403.17066.
We extend the stochastic reconstruction theorem to a setting where the underlying family of distributions satisfies some natural conditions involving rectangular increments. This allows us to prove the well-posedness of a new class of mixed stochastic partial differential of hyperbolic type which combines standard Walsh stochastic integration and Young products.
The Euler-Maclaurin formula which relates a discrete sum with an integral, is generalised to the setting of Riemann-Stieltjes sums and integrals on stochastic processes whose paths are a.s. rectifiable, namely, continuous and with bounded variation. For this purpose, new variants of the signature are introduced, such as the flip and the sawtooth signature. The counterparts of the Bernoulli numbers that arise in the classical Euler-Maclaurin formula are shown to be the integration constants in the repeated integration by parts which ``recursively minimise the error'' at every truncation level.
Branched rough paths, defined as paths with values in the character group of the Connes-Kreimer Hopf algebra $\mathcal{H}_\mathrm{CK}$, constitute integration theories that may fail to satisfy the usual integration by parts identity. Using known results on the primitive elements of $\mathcal{H}_\mathrm{CK}$ we can view it as a commutative cofree Hopf algebra (i.e. a commutative $\mathbf{B}_\infty$-algebra) and thus write an explicit change-of-variable formula for solutions to rough differential equations. This formula restricts to the well-known It\^o formula in the very special case of semimartingales. In addition, we establish an isomorphism between $\mathcal{H}_\mathrm{CK}$ and the shuffle algebra over its primitives, which extends Hoffman's exponential for the quasi-shuffle algebra, and can therefore be viewed as a far-reaching generalisation of the usual It\^o-Stratonovich correction formula for semimartingales. Indeed, this can be stated as a characterisation of the algebra structure of any commutative $\mathbf{B}_\infty$-algebra. Compared to previous approaches, this transformation has the key property of being natural in the decorating vector space. We study the one-dimensional case more closely, by introducing the branched analogue of the Kailath-Segall polynomials and Dol\'eans-Dade exponential, and conclude with some examples of branched rough path lifts of a stochastic process which are not quasi-geometric.
Discrete signatures are invariants computed from time series corresponding to the discretised version of the signature of paths. We study the algebraic varieties arising from their images, the discrete signature varieties. We introduce them and compute their dimension in many cases. From a particular subclass of these varieties, we derive a partial solution to the Chen-Chow theorem for complex-valued time series.
We introduce a class of operators associated with the signature of a smooth path $X$ with values in a $C^{\star}$ algebra $\mathcal{A}$. These operators serve as the basis of Taylor expansions of solutions to controlled differential equations of interest in noncommutative probability. They are defined by fully contracting iterated integrals of $X$, seen as tensors, with the product of $\mathcal{A}$. Were it considered that partial contractions should be included, we explain how these operators yield a trajectory on a group of representations of a combinatorial Hopf monoid. To clarify the role of partial contractions, we build an alternative group-valued trajectory whose increments embody full-contractions operators alone. We obtain therefore a notion of signature, which seems more appropriate for noncommutative probability.
We introduce the class of "smooth rough paths" and study their main properties. Working in a smooth setting allows us to discard sewing arguments and focus on algebraic and geometric aspects. Specifically, a Maurer-Cartan perspective is the key to a purely algebraic form of Lyons extension theorem, the renormalization of rough paths in the spirit of [Bruned, Chevyrev, Friz, Prei{\ss}, A rough path perspective on renormalization, J. Funct. Anal. 277(11), 2019] as well as a related notion of "sum of rough paths". We first develop our ideas in a geometric rough path setting, as this best resonates with recent works on signature varieties, as well the renormalization of geometric rough paths. We then explore extensions to the quasi-geometric and the more general Hopf algebraic setting.
Using some basic notions from the theory of Hopf algebras and quasi-shuffle algebras, we introduce rigorously a new family of rough paths: the quasi-geometric rough paths. We discuss their main properties. In particular, we will relate them with iterated Brownian integrals and the concept of "simple bracket extension", developed in the PhD thesis of David Kelly. As a consequence of these results, we have a sufficient criterion to show for any $\gamma\in (0,1)$ and any sufficiently smooth function $\varphi \colon \mathbb{R}^d\to \mathbb{R}$ a rough change of variable formula on any $\gamma$-H\"older continuous path $x\colon [0, T]\to \mathbb{R}^d$, i.e. an explicit expression of $\varphi(x_t)$ in terms of rough integrals.
Motivated by recent applications in rough volatility and regularity structures, notably the notion of singular modelled distribution, we study paths, rough paths and related objects with a quantified singularity at zero. In a pure path setting this allows us to leverage on existing SLE Besov estimates to see that SLE traces takes values in a singular H\"older space, which quantifies a well-known boundary effect in the regime $\kappa < 1$. We then consider the integration theory against singular rough paths and some extensions thereof. This gives a method to reconcile, from a regularity structure point of view, different singular kernels used to construct (fractional) rough volatility models and an effective reduction to the stationary case which is crucial to apply general renormalisation methods.
Existence and uniqueness for rough flows, transport and continuity equations driven by general geometric rough paths are established.
We use the theory of regularity structures to develop an It\^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth enough function $\varphi$ we can express the random distribution $(\partial_t-\partial_{xx})\varphi(u)$ and the random field $\varphi(u)$ in terms of the reconstruction of some modelled distributions. The resulting objects are then identified with some classical constructions of stochastic calculus.