The signature of the path provides a top down description of a path in terms of its eects as a control. It is a group-like element in the tensor algebra and is an essential object in rough path theory. When the path is random, the linear independence of the signatures of different paths leads one to expect, and it has been proved in simple cases, that the expected signature would capture the complete law of this random variable. It becomes of great interest to be able to compute examples of expected signatures. In this thesis, we aim to compute the expected signature of various stochastic process solved by a PDE approach. We consider the case for an Ito diffusion process up to a fixed time, and the case for the Brownian motion up to the first exit time from a domain. We manage to derive the PDE of the expected signature for both cases, and find that this PDE system could be solved recursively. Some specific examples are included herein as well, e.g. Ornstein-Uhlenbeck (OU) processes, Brownian motion and Levy area coupled with Brownian motion.

In this thesis, we investigate the pathwise regularity of partial sum process of general orthogonal series, and prove that the partial sum process is a geometric 2-rough process under the same condition as in Menshov-Rademacher Theorem. For Fourier series, the condition can be improved, and an equivalent condition on the limit function is identified.

Orientador: Pedro José Catuogno / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-26T02:18:47Z (GMT). No. of bitstreams: 1 Castrequini_RafaelAndretto_D.pdf: 917541 bytes, checksum: c03f74c254be62fceaa032d8a3fd40ec (MD5) Previous issue date: 2014 / Resumo: Provaremos uma fórmula do tipo Itô-Ventzel para caminhos Hölder cujo expoente é maior que 1/3. Os exemplos fundamentais de caminhos onde a fórmula é válida é o movimento Browniano fracionário. Nossa fórmula estende (e coincide) a versão clássica feita por H. Kunita na década de 80. As ferramentas utilizadas residem no contexto dos rough paths seguindo a abordagem de M. Gubinelli. Tais tecnicas começaram a serem desenvolvidas por T. Lyons no final de 90. Como aplicação, estudaremos equações diferenciais dirigidas por caminhos cujo expoente é maior que 1/2 (Sistemas de Young). Onde a idéia aqui é empregar nossa fórmula aplicando o método das caracteristicas nesse contexto, seguindo novamente os trabalhos de H. Kunita / Abstract: We prove an Itô-Ventezel type formula for Hölder paths with exponent is greater than 1/3. The most important class of examples of theses paths is given by fractional Brownian motion. Our formula is an extension (and agree) to classic version done by H. Kunita in 80's. The technical tools used rely on rough path theory following M. Gubinelli's approach. Those techniques were developed in the late 90's. by T. Lyons. As an application, we study differential equations driven by paths with exponent greater than 1/2 (Young Systems). The ideia here is to employ our formula together with method of characteristics in this setting, following Kunita's work / Doutorado / Matematica / Doutor em Matemática

We extend the recently developed rough path theory to the case of more rough noise and/or more singular Volterra kernels. It was already observed that the Volterra rough path introduced there did not satisfy any geometric relation, similar to that observed in classical rough path theory. Thus, an extension of the theory to more irregular driving signals requires a deeper understanding of the specific algebraic structure arising in the Volterra rough path. Inspired by the elements of "non-geometric rough paths" developed, we provide a simple description of the Volterra rough path and the controlled Volterra process in terms of rooted trees, and with this description we are able to solve rough Volterra equations driven by more irregular signals.

This thesis contains three main results. The first result states that, outside a slim set associated with a Gaussian process with long time memory, paths can be canonically enhanced to geometric rough paths. This allows us to apply the powerful Universal Limit Theorem in rough path theory to study the quasi-sure properties of the solutions of stochastic differential equations driven by Gaussian processes. The key idea is to use a norm, invented by B. Hambly and T.Lyons, which dominates the p-variation distance and the fact that the roughness of a Gaussian sample path is evenly distributed over time. The second result is the almost-sure uniqueness of the signatures of SLE kappa curves for kappa less than or equal to 4. We prove this by first expressing the Fourier transform of the winding angle of the SLE curve in terms of its signature. This formula also gives us a relation between the expected signature and the n-point functions studied in the SLE and Statistical Physics literature. It is important that the Chordal SLE measure in D is supported on simple curves from -1 to 1 for kappa between 0 and 4, and hence the image of the curve determines the curve up to reparametrisation. The third result is a formula for the expected signature of Gaussian processes generated by strictly regular kernels. The idea is to approximate the expected signature of this class of processes by the expected signature of their piecewise linear approximations. This reduces the problem to computing the moments of Gaussian random variables, which can be done using Wick’s formula.

Orientador: Pedro Jose Catuogno / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-08-14T19:44:56Z (GMT). No. of bitstreams: 1 Vieira_MarceloGoncalvesOliveira_D.pdf: 804383 bytes, checksum: ab79ef394c82b721e298a47eaa86c2f6 (MD5) Previous issue date: 2009 / Resumo: Este trabalho aborda homotopias não usuais entre soluções de equações pertencentes a uma coleção de equações. Cada coleção de equações é denominada pelo termo sistema e neste trabalho são considerados dois tipos de sistemas, os sistemas de Young e os sistemas rugosos. Sob determinadas condições, mostramos que um conjunto de pontos acessíveis de um sistema de Young admite recobrimento e um resultado análogo para sistemas rugosos também é válido. Além disso, mostramos que a concatenação de trajetórias de um sistema ainda é uma trajetória deste sistema. Com esse resultado é possível definir uma operação entre as classes de homotopias de trajetórias de um sistema. Outro ponto abordado é estender ao contexto de um sistema de Young a noção de trajetórias regulares de equações diferenciais ordinárias pertencentes a um sistema de controle. Nesta direção obtivemos um resultado o qual diz que a concatenação entre uma trajetória regular e qualquer outra trajetória produz uma trajetória regular. Por fim, estudamos como o conceito de homotopia entre trajetórias de um sistema rugoso se relaciona com conjugação de sistemas e com equações diferenciais estocásticas. / Abstract: This work accosts unusual homotopy between solutions of equations belonging to a collection of equations. Each collection of equations is called by system and in this work are considered two types of systems, Young systems and rough systems. Under certain conditions, we show that a set of points accessible from an Young system admits covering and a similar result for rough systems is also valid. Furthermore, we show that the concatenation of trajectories of a system is also a trajectory of the system. With this result it is possible to define an operation between the classes of homotopy between trajectories of a system. Another point discussed is to extend to the context of trajectories of an Young system the notion of regularity of trajectories of ordinary differential equations belonging to a control system. In this way we obtain a result which says that the concatenation of a regular trajectory and any other trajectory produces a regular trajectory. Finally, we study how the concept of homotopy between trajectories of a rough system relates with conjugation of systems and stochastic differential equations. / Doutorado / Matematica / Doutor em Matemática

Orientador: Pedro Jose Catuogno / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatística e Computação Cientifica / Made available in DSpace on 2018-08-14T14:39:55Z (GMT). No. of bitstreams: 1 Castrequini_RafaelAndretto_M.pdf: 934326 bytes, checksum: e4c45bc1efde09bbe52710c44eab8bbf (MD5) Previous issue date: 2009 / Resumo: Introduzimos a teoria dos p-rough paths seguindo a abordagem de M. Gubinelli, conhecida por integração algébrica. Durante toda a dissertação nos restringimos ao caso 1 </= p < 3, o que e suficiente para lidar com trajetórias do movimento Browniano e aplicações ao Cálculo Estocástico. Em seguida, estudamos as equações diferenciais associadas aos rough paths, onde nós conectamos a abordagem de A. M. Davie (as equações) e a abordagem de M. Gubinelli (as integrais). No final da dissertação, aplicamos a teoria de rough path ao cálculo estocástico, mais precisamente relacionando as integrais de Itô e Stratonovich com a integral ao longo de caminhos. / Abstract: We introduce p-Rough Path Theory following M. Gubinelli_s approach, as known as algebraic integration. Throughout this masters thesis, we are concerned only in the case where 1 </= p < 3, witch is enough to deal with trajectories of a Brownnian motion and some applications to Stochastic Calculus. Afterwards, we study differential equations related to rough paths, where we connect the approach of A. M. Davie to equations with the approach of M. Gubinelli to integrals. At the end of this work, we apply the theory of rough paths to stochastic calculus, more precisely, we related the integrals of Itô and Stratonovich to integral along paths. / Mestrado / Sistemas estocasticos / Mestre em Matemática

Nous étudions les propriétés métriques locales des ensembles de niveau des applicationshorizontalement différentiables entre des groupes de Carnot, c'est-à-dire différentiable par rapport à la structure sous-riemannienne intrinsèque.Nous considérons des applications dont la différentielle horizontale est surjective,et notre étude peut être vue comme une généralisation du théorème des fonctions implicites pour les groupes de Carnot.Tout d'abord, nous présentons deux notions de tangence dans les groupes de Carnot:la première basée sur la condition de platitude au sens de Reifenberg et la deuxième issue de l'analyse convexe classique.Nous montrons que dans les deux cas, l'espace tangent à un ensemble de niveau coïncide avec le noyau de la différentielle horizontale.Nous montrons que cette condition de tangence caractérise en fait les ensembles de niveaudits ‘co-abéliens', c'est-à-dire ceux pour lesquels l'espace d'arrivée est abélien, et qu'une telle caractérisation n'est pas vraie en général.Ce résultat sur les espaces tangents a plusieurs conséquences remarquables.La plus importante est que la dimension de Hausdorff des ensembles de niveau est celle à laquelle l'on s'attend.Nous montrons également la connectivité locale des ensembles de niveau, et le fait que les ensembles de niveau de dimension 1 sont topologiquement des arcs simples.Pour les ensembles de niveau de dimension 1 nous trouvons une formule de l'aire qui permet d'exprimer la mesure de Hausdorff en termes d'intégrales de Stieltjes généralisées.Ensuite, nous menons une étude approfondie du cas particulier des ensembles de niveau dans les groupes d'Heisenberg.Nous montrons que les ensembles de niveau sont topologiquement équivalents à leurs espaces tangents.Il s'avère que la mesure de Hausdorff des ensembles de niveau de codimension élevée est souvent irrégulière, étant, par exemple, localement nulle ou infinie.Nous présentons une condition simple de régularité supplémentaire pour une application pour assurer la régularité au sens d'Ahlfors des ses ensembles de niveau.Parmi d'autres résultats, nous obtenons une nouvelle caractérisation généraledes graphes Lipschitziens associés à une décomposition en produit semi-direct d'un groupe de Carnot.Nous traitons, en particulier, le cas des groupes de Carnot dont le nombre de stratesest plus grand que $2$.Cette caractérisation nous permet de déduire une nouvelle caractérisation des ensemblesde niveau co-abéliens qui admettent une représentation en tant que graphe. / Metric properties of level sets of differentiable maps on Carnot groupsAbstract.We investigate the local metric properties of level sets of mappings defined between Carnot groups that are horizontally differentiable, i.e.with respect to the intrinsic sub-Riemannian structure. We focus on level sets of mapping having a surjective differential,thus, our study can be seen as an extension of implicit function theorem for Carnot groups.First, we present two notions of tangency in Carnot groups: one based on Reifenberg's flatness condition and another coming from classical convex analysis.We show that for both notions, the tangents to level sets coincide with the kernels of horizontal differentials.Furthermore, we show that this kind of tangency characterizes the level sets called ``co-abelian'', i.e.for which the target space is abelian andthat such a characterization may fail in general.This tangency result has several remarkable consequences.The most important one is that the Hausdorff dimension of the level sets is the expected one. We also show the local connectivity of level sets and, the fact that level sets of dimension one are topologically simple arcs.Again for dimension one level set, we find an area formula that enables us to compute the Hausdorff measurein terms of generalized Stieltjes integrals.Next, we study deeply a particular case of level sets in Heisenberg groups. We show that the level sets in this case are topologically equivalent to their tangents.It turns out that the Hausdorff measure of high-codimensional level sets behaves wildly, for instance, it may be zero or infinite.We provide a simple sufficient extra regularity condition on mappings that insures Ahlfors regularity of level sets.Among other results, we obtain a new general characterization of Lipschitz graphs associated witha semi-direct splitting of a Carnot group of arbitrary step.We use this characterization to derive a new characterization of co-ablian level sets that can be represented as graphs.