Probability and Partial Differential Equations in Modern Applied Mathematics

Volume 140 of the series The IMA Volumes in Mathematics and its Applications pp 117-135

Continuity of the Itô-Map for Holder Rough Paths with Applications to the Support Theorem in Holder Norm

  • Peter K. FrizAffiliated withCourant Institute, NYU

* Final gross prices may vary according to local VAT.

Get Access


Rough Path theory is currently formulated in p-variation topology. We show that in the context of Brownian motion, enhanced to a Rough Path, a more natural Holder metric π can be used. Based on fine-estimates in Lyons’ celebrated Universal Limit Theorem we obtain Lipschitz-continuity of the Ito-rnap (between Rough Path spaces equipped with π). We then consider a number of approximations to Brownian Rough Paths and establish their convergence w.r.t. π. In combination with our Holder ULT this allows sharper results than the p-variation theory. Also, our formulation avoids the so-called control functions and may be easier to use for non Rough Path specialists. As concrete application, we combine our results with ideas from [MS] and [LQZ] and obtain the Stroock-Varadhan Support Theorem in Holder topology as immediate corollary.

Key words

Rough Path theory Itô-map Universal Limit Theorem p-variation vs. Hölder regularity Support Theorem

AMS(MOS) subject classifications