2 papers
math.PR2017
Examples of renormalized SDEs
Yvain Bruned, Ilya Chevyrev, Peter K. Friz
We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our fir…
math.PR2017
A Rough Path Perspective on Renormalization
Yvain Bruned, Ilya Chevyrev, Peter K. Friz +1
We develop the algebraic theory of rough path translation. Particular attention is given to the case of branched rough paths, whose underlying algebraic structure (Connes-Kreimer,…