From constructive field theory to fractional stochastic calculus. (I) An introduction: rough path theory and perturbative heuristics - Archive ouverte HAL
Article Dans Une Revue Annales Henri Poincaré Année : 2011

From constructive field theory to fractional stochastic calculus. (I) An introduction: rough path theory and perturbative heuristics

Résumé

Let $B=(B_1(t),\ldots,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha<1/4$. Defining properly iterated integrals of $B$ is a difficult task because of the low Hölder regularity index of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to $B$, or to solving differential equations driven by $B$. We show in this paper how to obtain second-order iterated integrals as the limit when the ultra-violet cut-off goes to infinity of iterated integrals of weakly interacting fields defined using the tools of constructive field theory, in particular, cluster expansion and renormalization. The construction extends to a large class of Gaussian fields with the same short-distance behaviour, called multi-scale Gaussian fields. Previous constructions \cite{Unt-Holder,Unt-fBm} were of algebraic nature and did not provide such a limiting procedure.

Dates et versions

hal-00491768 , version 1 (14-06-2010)

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Citer

J. Magnen, J. Unterberger. From constructive field theory to fractional stochastic calculus. (I) An introduction: rough path theory and perturbative heuristics. Annales Henri Poincaré, 2011, 12 (6), pp.1199-1226. ⟨10.1007/s00023-011-0106-3⟩. ⟨hal-00491768⟩
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