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Doob–Meyer type decomposition for rough paths

  • Peter K. Friz
  • Martin Hairer
Chapter
  • 190 Downloads
Part of the Universitext book series (UTX)

Abstract

A deterministic Doob–Meyer type decomposition is established. It is closely related to the question to what extent Y' is determined by Y , given that (Y, Y') ∈ D2α X . The crucial property is true roughness of X, a deterministic property that guarantees that X varies in all directions, all the time.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Peter K. Friz
    • 1
    • 3
  • Martin Hairer
    • 2
  1. 1.Institut für MathematikTechnische Universität BerlinBerlinGermany
  2. 2.Department of MathematicsImperial College LondonLondonUK
  3. 3.Weierstraß-Institut für Angewandte Analysis und StochastikBerlinGermany

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