A Fourier Analysis Based New Look at Integration

Imkeller, Peter; Perkowski, Nicolas

doi:10.2478/amsil-2023-0011

Abstract

We approach the problem of integration for rough integrands and integrators, typically representing trajectories of stochastic processes possessing only some Hölder regularity of possibly low order, in the framework of para-control calculus. For this purpose, we first decompose integrand and integrator into Paley–Littlewood packages along the Haar–Schauder system. By careful estimation of the components of products of packages of the integrand and derivatives of the integrator we obtain a characterization of Young’s integral. For the most interesting case of functions with Hölder regularities that sum up to an order below 1 we have to employ the concept of para-control of integrand and integrator with respect to a reference function for which a version of antisymmetric Lévy area is known to exist. This way we obtain an interpretation of the rough path integral. Lévy areas being known for most frequently used stochastic processes such as (fractional) Brownian motion, this integral serves as a basis for pathwise stochastic calculus, as the integral in classical rough path analysis.

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A Fourier Analysis Based New Look at Integration

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