论文标题

流形的非几何粗糙路径

Non-Geometric Rough Paths on Manifolds

论文作者

Armstrong, John, Brigo, Damiano, Cass, Thomas, Ferrucci, Emilio

论文摘要

我们提供了一个有界3> p差异的流形的粗糙路径的理论,我们不认为这是几何的。粗糙的路径在图表中定义,并给出了由cotangent束值受控路径的粗糙集成的无坐标(但与连接有关的)定义,以及由另一个歧管中的粗糙路径驱动的RDE。当路径是实现Semimartingale的实现时,我们恢复了ITô集成理论和SDE的歧管[é89]。我们继续向我们的局部公式介绍外部对应物,并展示它们如何将[CDL15]中的工作扩展到非几何粗糙路径的设置,并控制比1型更通用的集成。在最后一部分中,我们转向平行的运输和卡坦发展:缺乏几何性使我们在歧管TM的切线束上选择连接,该连接在平行性RDE中的ITô校正项中数字;在几何/Stratonovich设置中不需要的这种连接是为了满足保证定义明确的性能,线性和可选的平行传输等速度的属性。最后,我们提供了许多示例,其中一些伴随数值模拟,探讨了我们的观点变化引入的其他微妙之处。

We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but connection-dependent) definitions of the rough integral of cotangent bundle-valued controlled paths, and of RDEs driven by a rough path valued in another manifold, are given. When the path is the realisation of semimartingale we recover the theory of Itô integration and SDEs on manifolds [É89]. We proceed to present the extrinsic counterparts to our local formulae, and show how these extend the work in [CDL15] to the setting of non-geometric rough paths and controlled integrands more general than 1-forms. In the last section we turn to parallel transport and Cartan development: the lack of geometricity leads us to make the choice of a connection on the tangent bundle of the manifold TM, which figures in an Itô correction term in the parallelism RDE; such connection, which is not needed in the geometric/Stratonovich setting, is required to satisfy properties which guarantee well-definedness, linearity, and optionally isometricity of parallel transport. We conclude by providing numerous examples, some accompanied by numerical simulations, which explore the additional subtleties introduced by our change in perspective.

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